Looking at your sites source, I notice you are using FancyBox together with both Shadowbox (loaded by the Cool Video Gallery plugin) and prettyPhoto (loaded by your theme) but amazingly, that is not even the main cause of the issue you are seeing.
The biggest problem is the fact that your theme loads it's own jQuery library instead of using the one included in WordPress and registering it via the official wp_enqueue_script() method... Bad theme! ;)
I suspect you need to edit the themes header.php and remove the line with something like
<?php wp_header(); ?>...