Insert gallery

Hi

I just installed WordPress with an Elegant Theme.
Everything works great and Im happy…

But…
I found this link on youtube that shows me a different function,
when inserting pictures on a post.
http://www.youtube.com/watch?v=IseKK5Pw–c

I really like when clicking the picture it goes full-size with dark background. And you can click to show next picture.

But in my WordPress the picture just opens in a clean white browser window, and I can’t click to the next picture.
The thumpnail overview works fine.

Does anyone know why my gallery function does’nt work as on the youtube video.

Here is a link to mine:
http://gags.dk/chameleon/?p=116&preview=true