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From the light box page...

Can I insert links in the caption?

Yes, but you need to convert quotes and greater and less than symbols into their html entity equivalents. For example:

<a href="images/image-4.jpg" rel="lightbox" title="<span style="color:#008000">&lt;a href=<span style="color:#0000FF">&quot;link.html&quot;</span>&gt;</span>my link<span style="color:#008000">&lt;/a&gt;</span>">Image</a>