This can happen for two reasons.
1. You may not have extracted the entire zip folder, so do this first.
However, you get an error for the second reason.
2. You do not mean the file correctly. eg:
<script type ="text/javascript" src="pathto\mathjax.js">
You have entered an invalid file name. The correct file name is MathJax.js.Given below is the correct path.
<script type ="text/javascript" src="pathto\mathjax.js">
MathJax.js is the name of the file in the extracted folder (if not changed)
If all this does not work, then refer to the script as follows:
<script type="text/javascript" src="Pathto/MathJax.js?config=TeX-AMS-MML_HTMLorMML">
The reason your script is not working is because you are not including:
? Config = TeX-AMS-MML_HTMLorMML
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