Alex, Im not sure if this is the issue with this one or with the fual slimbox one, but the script tries to run when the document is not ready yet, which will causes some serious problem on slow sites (images completely disappear).On IE, if the page has flash it will cause "operation aborted"

Also, if you want you can use the module i posted here to avoid having to place too many duplicated files under the modules/pages.

http://www.zen-cart.com/forum/showthread.php?t=118215

You can checkout my simple lightbox module and zoom module that use the script above.

You can also use jscript to load css dynamically, that way to can also avoid having to load the stylesheet globally (you can see example in one of the modules above)
http://public.rubikintegration.com/