I selected fancy box, but have tried the others. When I go to the webpage, I get the thumbnails and a bullet next to them and they are all shown in a row. I have only one photo album, 5 photos. Everything else in the module seems to work just fine (I don't get the rotation icons when adding caption, but the next button works) except that there is no popup viewer.
Now, I did not add any popup viewer code. I didn't see that in the instructions and assumed it was included with the module.