I hope to find some help here. I use shadowbox, but when I try to show a site it works only with one link, if you try to navigate the site showed in the iframe you go out from the shadowbox. I have to write some extra code? Where?
There is not any code needed to make external pages opened into shadowbox work as if you where visiting them outside the box.
I suggest you try first a site like www.google.com inside the shadowbox to see if that works. If it works it means there is something on links of the page you are trying that makes then not work (for example those links can have a target attribute that makes then open on separate windows, etc...)