jQuery selectors are awesomely powerful and you can get as fancy as you want with regards to selecting elements you need. That said, I always try and be as specific as I possibly can. It not only keeps your selectors simpler, but it will also improve performance because it means less DOM traversal for jQuery.
Why do:
When you can do
Your example code doesn't really match with what you're trying to do. You're ID for the tabs in the HTML is #tabs but your code uses #example. Also, the HTML isn't loading tabs via ajax on demand but your JavaScript implies that it does because of using the load: event. So it is difficult to determine where the actual problem is.
Personally, I'd use the jQuery's live() function over the load event if all you need to do there is apply a click handler. I have a demo working on jsfiddle. Maybe you can modify your code from my demo and make something work:
http://jsfiddle.net/KN2rc/1/