Although this plugin works with WordPress v3.4.1 it is not working completely. But it works much better than many other Lightbox plugins I tried.
The setting "Enable caption" does not use the caption that is set for the image. It is showing the name of the image, sans file extension, instead of what is written in the Caption field for the image. If you do not want the "ugly" filename shown you need to disable "Enable caption". But that leaves you with no text at all.