With newer releases of jquery (1.3+ I think), all you have to do is set one of the members of the radio set to be required and jquery will take care of the rest:
<input type="radio" name="myoptions" value="blue" class="required"> Blue<br />
<input type="radio" name="myoptions" value="red"> Red<br />
<input type="radio" name="myoptions" value="green"> Green
The above would require at least 1 of the 3 radio options w/ the name of “my options” to be selected before proceeding.
The label suggestion by Mahes, btw, works wonderfully!