There’s different ways to install the fancybox lightbox in your theme.
This tutorial shows you a very simplistic way to only load the jQuery and CSS files needed to display a gallery of images created using the native WordPress gallery in a lightbox style popup window which darkens the background like this:
There’s 3 steps involved before you create a gallery in WordPress.
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You can now create a gallery using the native gallery in WordPress and your thumbnail images will popup in a carousel style slide show like what you can see in this video demonstration: