[plugin tinymce advanced] can’t create lightbox popups for links

I’m using WP 2.9.2
Studio Press Corporate child theme
tinyMCE Advanced 3.2.6
JQuery Lightbox 0.9

I want to create lightbox popup windows for external links in the page/post. But here’s what I do

– highlight the link text
– enter the URL of the link
– click on the advanced tab and select “lightbox” as the Relationship Page to Target

Then I’ll save the page, go to the front end, click on the link. The screen will darken and a white square appears in the center, but the page never loads. Is there a step I’m leaving out?

Thanks very much!