I included jqDnR.js and jqModal.js now it doesn't show up in my grid it but as soon as I click inside it or drag the box it will disappear. Firebug shows no errors.
In jquery.jqGrid.js I have include true for all files. Unfortunately I am having the same issue still with the setcolumn box not being draggable and closing on me after click. Sorry to bug you about this.