It’s not natively possible, but you can probably use another plugin to provide the lightbox and put the GDE shortcode into it.
I hope to add alternative options like this to GDE 3.0, after the 2.5 beta cycle is finished.
Yesterday I was searching for plugin to open a pdf file for my website, and I’d find that you were looking for the same.
I tried the plugin that I recomended to you above, however, I find that this plugin http://wordpress.org/extend/plugins/prettyphoto-media/
it’s so much better an easy to use, just install and add to your link tag rel=”prettyPhoto” and thats it.
This is the web of the original autor, it explains how to add any media file, images, youtube, quicktime videos, pdf, iframes, etc…:
http://www.no-margin-for-errors.com/projects/prettyphoto-jquery-lightbox-clone/
hope to be of some help…