What I did so far (and it works) is:
1- I added a "doc" attribute to the
<a> tag of my image, so I get something like this with the name of the document I want to link to (taken from the nextgen database):
<a rel="lightbox[set_1]" title="Picture1" href=".../wp-content/gallery/gallery1/pic1.jpg">
2- I played with the code of jquery.colorbox.js to display my new "doc" attribute instead of the Title attribute, so I turned this:
settings.title = settings.title || element.title
settings.title = '<a class="doc" href="/wp-content/uploads/docs/'+$(element).attr('doc')+'">Download File'</a>';}
And that's it! Under each picture, I get a link to the document associated with it.