This will give you a light box with a close button which I think is easier to use.
1. Download the JW image rotator. Upload the imagerotator folder to your web server.
2. In the WordPress admin go to Gallery > Options > Slideshow. Configure the path to the imagerotator.swf. For example: http://www.plansforextensions.com/imagerotator/imagerotator.swf
Click save changes
3. Go to Gallery > Options > Effects. Change JavaScript Thumbnail effect: to 'Thickbox'. Save changes.
4. Now you have a nicer lightbox with a close button :)
5. Some extra text may appear before your thumbnails, something like - [show in slideshow]. To remove this, go to Gallery > Options > Gallery. Remove all text in the first box next to 'Integrate Slideshow'.
6. Excellent!