all,
the plugin itself is working fine, I tested it on several WordPress installations with different themes.
If the Colorbox does not open or looks broken, it’s probably a JavaScript or CSS conflict with your theme or another plugin you are using.
Since both JavaScript and CSS files change in every version, it’s for example necessary to delete the cache if you use plugins like W3TC or other plugins or WP Super Cache or a CSS/JavaScript minifier or something like that.
Also make sure that you deleted your browser cache and test with different browsers.
Preferrably also test on different WordPress installations, with a different theme or different plugin combinations. The TwentyEleven theme that comes with WordPress 3.3 is a pretty good example for a well implemented theme.
Cheers,
Arne