I was able to run jqGrid on my local machine. Basically, you only need to adapt the example code from the web site. And, you are all set!
<!--- xml_data.cfm --->
<cfcontent type="text/xml;charset=utf-8" />
<rows>
<page>1</page>
<total>1</total>
<records>1</records>
<row id='1'>
<cell>1</cell>
<cell>07/26/2013</cell>
<cell><![CDATA[Client 1]]></cell>
<cell>700</cell>
<cell>140</cell>
<cell>840</cell>
<cell><![CDATA[Nice work!]]></cell>
</row>
</rows>
<!--- jqGrid.html --->
<html>
<head>
<title>jqGrid</title>
<link rel="stylesheet" type="text/css" media="screen" href="http://trirand.com/blog/jqgrid/themes/redmond/jquery-ui-custom.css" />
<link rel="stylesheet" type="text/css" media="screen" href="http://trirand.com/blog/jqgrid/themes/ui.jqgrid.css" />
<link rel="stylesheet" type="text/css" media="screen" href="http://trirand.com/blog/jqgrid/themes/ui.multiselect.css" />
<script src="http://trirand.com/blog/jqgrid/js/jquery.js" type="text/javascript"></script>
<script src="http://trirand.com/blog/jqgrid/js/jquery-ui-custom.min.js" type="text/javascript"></script>
<script src="http://trirand.com/blog/jqgrid/js/jquery.layout.js" type="text/javascript"></script>
<script src="http://trirand.com/blog/jqgrid/js/i18n/grid.locale-en.js" type="text/javascript"></script>
<script type="text/javascript">
$.jgrid.no_legacy_api = true;
$.jgrid.useJSON = true;
</script>
<script src="http://trirand.com/blog/jqgrid/js/ui.multiselect.js" type="text/javascript"></script>
<script src="http://trirand.com/blog/jqgrid/js/jquery.jqGrid.js" type="text/javascript"></script>
<script src="http://trirand.com/blog/jqgrid/js/jquery.tablednd.js" type="text/javascript"></script>
<script src="http://trirand.com/blog/jqgrid/js/jquery.contextmenu.js" type="text/javascript"></script>
<script type="text/javascript">
jQuery().ready(function (){
jQuery("#list1").jqGrid({
url:'http://localhost:8888/test/xml_data.cfm',
datatype: "xml",
colNames:['Inv No','Date', 'Client', 'Amount','Tax','Total','Notes'],
colModel:[
{name:'id',index:'id', width:75},
{name:'invdate',index:'invdate', width:90},
{name:'name',index:'name', width:100},
{name:'amount',index:'amount', width:80, align:"right"},
{name:'tax',index:'tax', width:80, align:"right"},
{name:'total',index:'total', width:80,align:"right"},
{name:'note',index:'note', width:150, sortable:false}
],
rowNum:10,
autowidth: true,
rowList:[10,20,30],
pager: jQuery('#pager1'),
sortname: 'id',
viewrecords: true,
sortorder: "desc",
caption:"XML Example"
})
.navGrid('#pager1',{edit:false,add:false,del:false});
});
</script>
</head>
<body>
<table id="list1"></table>
<div id="pager1"></div>
</body>
</html>