[Plugin: Lightbox Plus] Lightbox does not work at all

1. Extract lightbox-plus.zip to your wp-content/plugins directory.

I did that.

2. In the admin panel under plugins activate Lightbox Plus.

I did that too.

3. In the admin panel under Appearance click on Lightbox Plus to configure to your taste.

I changed the settings to black and saved the settings.

4. It should now be completely set up and functional

Well, nice, it works now… but how?

I made a page and included
image #1 for a test to the page.
But when I click the link, all what happens is that it opens the image as if there is no Lightbox at all.

Either I am stupid and can not figure it out or the guide misses some important step to make the plugin to work.
Where for instance is the JS to include?