[SOLVED] Dialog close button lacks styles?

I am using the JQuery UI dialog:

$("#filter").dialog({
    autoOpen: false,
    resizable: false,
    draggable:false
});

The close button in their example has:

<button class="ui-button ui-widget ui-state-default ui-corner-all ui-button-icon-only ui-dialog-titlebar-close" role="button" aria-disabled="false" title="close">
<span class="ui-button-icon-primary ui-icon ui-icon-closethick"></span>
<span class="ui-button-text">close</span></button>

Mine has:

<button class="ui-dialog-titlebar-close"></button>

Why does my button not have those styles. I have included the theme and I see the theme for everything else...

Thanks