Userscripts and most Greasemonkey scripts operate in sandboxes.  So, the script needs to either load jQuery (the $ object your code is using) itself, or it needs to inject code to use the target page's version of jQuery.
The best way to use jQuery in a cross-browser script is via this stunningly brilliant method.  (^_^)
So, your script would become:
// ==UserScript==
// @name     _Mouse-click detect
// @include  http://YOUR_SERVER.COM/YOUR_PATH/*
// @require  http://ajax.googleapis.com/ajax/libs/jquery/1.7.2/jquery.min.js
// @grant    GM_info
// ==/UserScript==
function GM_main ($) {
    function removeSth () {
        $('a').click (function () {
            alert ("warning");
            return false;
        } );
    }
    removeSth ();
}
if (typeof GM_info !== "undefined") {
    GM_main ($);
}
else {
    add_jQuery (GM_main);
}
function add_jQuery (callbackFn, jqVersion) {
    var jqVersion   = jqVersion || "1.7.2";
    var D           = document;
    var targ        = D.getElementsByTagName ('head')[0] || D.body || D.documentElement;
    var scriptNode  = D.createElement ('script');
    scriptNode.src  = 'http://ajax.googleapis.com/ajax/libs/jquery/'
                    + jqVersion
                    + '/jquery.min.js'
                    ;
    scriptNode.addEventListener ("load", function () {
        var scriptNode          = D.createElement ("script");
        scriptNode.textContent  =
            'var gm_jQuery  = jQuery.noConflict (true);\n'
            + '(' + callbackFn.toString () + ')(gm_jQuery);'
        ;
        targ.appendChild (scriptNode);
    }, false);
    targ.appendChild (scriptNode);
}
However, for just Firefox-Greasemonkey and Tampermonkey, you can simplify the script to:
// ==UserScript==
// @name     _Mouse-click detect
// @include  http://YOUR_SERVER.COM/YOUR_PATH/*
// @require  http://ajax.googleapis.com/ajax/libs/jquery/1.7.2/jquery.min.js
// @grant    GM_info
// ==/UserScript==
function removeSth () {
    $('a').click (function () {
        alert ("warning");
        return false;
    } );
}
removeSth ();