I did all that was suggested yet the overlay didn’t appear. The solution was simple. I had downloaded a custom version of the jquery tools library and in an effort to save some bytes didn’t include a crucial part of the library named Expose.
The overlay is based on the ‘Expose’ part of the library. If you take a carefull look a the modal box documentation it is mentioned: ‘This feature can be achieved with the Expose tool which is tightly integrated with this overlay tool.‘
If you want a custom version of jquery tools, don’t forget to click on Expose.
That’s all for now.