Seems you are on to something. I renamed thickbox.js in folder wp-content/plugins/nextgen-gallery/thickbox to thickboxTemp.js to make sure it didn't affect things. Did the same thing for the thickbox-pack.js in the same folder (not 100% sure this is necessary).
Success! IE6 works nicely and IE7 seems to comply as well. (FF has been working all along.)
As for the images I changed the relative URL:s to absolute ones. (Yes, it's crude.) In wp-includes/js/thickbox/thickbox.js:
var tb_pathToImage = "http://www.mydomain.com/wp/wp-includes/js/thickbox/loadingAnimation.gif";
Same thing for
var tb_closeImage and you're all set.
svaldesm: It's been a month. Have you resolved this issue already?
alex: Can't tell you how much I LOVE this plugin. It means the world for my site. Keep up the good work!