The code from official website seems only binds click event to links at first load. When a new page is loaded, all links seem to be unbinded so any further clicks will leave the page.
$('#example').tabs({
load: function(event, ui) {
$('a', ui.panel).click(function() {
$(ui.panel).load(this.href);
return false;
});
}
});
How to bind click events to links in every new page loaded into current tab?