ColorBox Not Popping Up New Box

I’m trying to get ColorBox to pop up a new pop-up and play a YouTube video. Since LightBox doesn’t work, I resorted to ColorBox, but instead of it popping up a box, it opens a whole new window, which isn’t what I want:

You can see it here by clicking on the link ‘click here’ on the top right:
BKSSL™ Solid-State Lighting by B-K Lighting: Micro Nite Star.

Anyone know what I’m missing?