First of all this is not a question, i just made a user control which seems to solve the issue discussed in the following link.
http://forum.jquery.com/topic/dialog-will-move-its-div-tag-to-body
The issue is, briefly, JQuery dialog causes some problems when using partial page update. From ASP.NET aspect, when it is used inside an UpdatePanel.
You can see the samples and download source code from the following links.
http://www.mbmt.net/JQ/JQDialogTest.aspx http://www.mbmt.net/JQ/JQDialogTest2.aspx
I hope this helps someone (: