The first thing you'll want to do is make sure that the site's theme meets the minimum requirements (expand the Requirements section).
As an example, the site does not have the correct version of jQuery (in fact, 2 versions of jQuery are being loaded on every page).
Also, the image link at the page you provided appears to have been manually set to open in a new window (using the
target="_blank" link attribute), which is why it's opening in a new window.
It does not appear that SLB is currently being loaded on your site, but things should clear up once you update the site to meet SLB's the minimum requirements. You should also check to make sure that SLB is activated and enabled by going to Appearance > Lightbox to update SLB's options.