What Part am I missing

In the file template.php make sure that you have downloaded the jquery mobile css and js files from http://jquerymobile.com/download/ and put them in the right location, or you could replace the paths by the cdn hosted locations.

  drupal_add_css('sites/all/libraries/jquery.mobile.min.css', $css_options);
  drupal_add_js('sites/all/libraries/jquery-1.6.4.min.js', array_merge($js_options, array('weight' => 100)));
  drupal_add_js(path_to_theme() . '/scripts/mobile_jquery.js', array_merge($js_options, array('weight' => 101)));
  drupal_add_js('sites/all/libraries/jquery.mobile.min.js', array_merge($js_options, array('weight' => 101)));

That's strange!
On one website I have just finish develop a theme thats works grate and I didn't touch this files.
In another site I started now I cant see the theme efect! I have change the code in templete.php according to the file - which are by the way different

drupal_add_css('sites/all/libraries/jquery.mobile/jquery.mobile-1.0.css', $css_options);
drupal_add_js('sites/all/libraries/jquery/jquery-1.6.4.js', array_merge($js_options, array('weight' => 100)));
drupal_add_js(path_to_theme() . '/scripts/mobile_jquery.js', array_merge($js_options, array('weight' => 101)));
drupal_add_js('sites/all/libraries/jquery.mobile/jquery.mobile-1.0.js', array_merge($js_options, array('weight' => 101)));

I have tried also the 'min' files..
What am I missing here?

@amirtaiar: Look in the source of the rendered page. Copy each of the jquery mobile -related JS and CSS include URLs and go to them in your browser -- to check that each file is, in fact, where it's supposed to be.

I have left code as above and disable the jqeuerymobile_ui module - All warks fine.
I can Understand why, so I guess it's a jquerymobile_ui bug?

Everything works fine when you disable the jquerymobile_ui module, but not when it's enabled?

The module allows you to set different CSS & JS files through the administrative theme settings.

Again, I'd suggest looking at the source of the rendered page: see what JS & CSS are being included.