Lightbox2 doesn't appear in the page I want to add Lightbox2 from http://lokeshdhakar.com/projects/lightbox2/ to my page, but following instructions (adding a JavaScript, and a CSS file) doesn't work. 

I thought I did all correctly, but when I click on the image, it doesn't show any popup.
What's wrong with it?
There's also a Lightbox2 Drupal Module that integrates with various other modules. And you don't need to update your Drupal's jQuery.

Here's the documentation since I don't really know how you're intending to use Lightbox2 on your website.