the two links on the left, "external site" & "sample blog entry" both have the same shadowbox markup, however, the blog entry calls <?php the_permalink(); ?> - and it doesn't spawn the shadowbox. Change that link to an actual file name and it works.
On the site linked to (as at the time of this response), I can't see an "external site" link, and the "sample blog entry" link does open Shadowbox. As do "BIO", Articles 1, 2 and 3, and "Send a Message". In fact, every link that has shadowbox in its rel attribute seems to open just fine.
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