It seems your jQuery or other javascript tools on the site are sucking the image's popup-window into a modal box embedded in the current page. The problem with doing that is that you haven't also gone in and changed the clickable link to no longer close the window.
A default install of Zen Cart 1.3.9h will open that image in another popup window, and the clickable link on the image is set to close the popup.
So, it's doing exactly what it's designed to do.
Whatever you've done to change the way your popups work needs to either take this other factor into consideration, or you need to edit every popup window to no longer contain any close() links, by manually editing every template file for popups which contain such links.
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