I’m using jquery mobile link and i’m setting it like below:
<a data-theme="a" data-iconpos="notext" data-icon="arrow-u" data-role="button" title="Vote Up"></a>
<a data-theme="a" data-iconpos="notext" data-icon="arrow-d" data-role="button" title="Vote Down"></a>
Inspite of this, the icon is not changing and is still being like this:

The code you wrote should work.I have created a fiddle based on it and it is working as expected.
See here – http://jsfiddle.net/3eMuK/
I guess you are linking to jQuery Mobile libraries that you copied to your server itself.The icons that jQuery Mobile use are in a folder “images” within the folder where jQuery Mobile CSS is located.You might not have added the icon sprite in that folder .
Download a complete JQM library with sprites from here- http://code.jquery.com/mobile/1.0/jquery.mobile-1.0.zip