I had the same problem and noticed that the JS and CSS files weren't referenced (look at your page source).
I added the following directly into the header.php file for the template I'm using:
<link rel="stylesheet" href="http://yourdomain.com/wp/wp-content/plugins/thickbox/thickbox/thickbox.css" type="text/css" media="all" />
I inserted the code between these two tags:
<?php wp_head(); ?>
All seems to work ok.
I also posted a comment on the author's website yesterday and he got back to me today to advise what the problem was and how to resolve it.
Hope this helps somebody out.
NB: Went to your website joeyjoejoe and have bookmarked it. I like It’s My Hobby - English and the Relish the Moment poem. Very inspirational. Will be a regular visitor.