shadowbox.js tries to pull the adapter, language and player files from the subdirectories of the directory that shadowbox.js resides in.
Unfortunately I seem to be having the same problem as well...although I can't seem to fix it. I was using lightbox because all my media were jpgs, but when I decided to put some .swfs on there I needed something else and I found shadowbox. I was going to convert my whole site to shadowbox if I got it working, however, that's where I went wrong. Unfortunately I can't link you to a page because I cannot connect to the server, but I'm having the exact same problem where the links open up in a new window.