You appear to be running two similar plugins, slimbox and lightbox. As a result, both are being created, but slimbox is on top. When you close slimbox, you see the lightbox. You’re going to want to disable one or the other.
As an aside, I noticed your site is loading both the prototype and jQuery libraries, and 4 similar javascript plugins (slimbox, lightbox, thickbox, and fancybox). If at all possible, you really want to select plugins that will utilize the same library (my recommendation is jQuery, it’s half the size), and only load the specific plugins that you’re using. I’m not going to poke around your site to check, but I obviously recommend you stick to slimbox! Of course, sometimes thickbox makes more sense, since I believe it handles more than just pictures, and sometimes you just like the particular look of things.
Anyway, it’s up to you what you want to run on the site, I just thought I’d make those observations. The culprit for your issue is that you’re running both a lightbox (which may be the reason prototype is also loading) and slimbox script, and you should only run one.