@ Daisy:
the zen_lightbox folder goes into your templates folder/images/buttons/english
if that is where you put them then they are right.
@powelli:
jscript_zen_lightbox.php is not the installer file the install.sql is the installer and you need to open it in a text editor then copy/paste it into the sql installer of admin
make sure you add the table prefix if your store has one and if it does not install through there then you need to install it (the same way) from myphpadmin