To know about what is thickbox please check this link. WordPress use this a main popup window or modal view. Thickbox is a jquery plugin and it’s available with wordpress with jquery. So my tips is how to use that in front end , using the thickbox available with it, no need to use externally.

ThickBox is a webpage UI dialog widget written in JavaScript on top of the jQuery library. Its function is to show a single image, multiple images, inline content, iframed content, or content served through AJAX in a hybrid modal.

At first let me tell you where you can get it if u search wordpress directory manually. Just check in wp-includes\js where you will get all the js library and plugins used with wordpress or available for use with plugin and theme. And here is every thing you need for thickbox
wp-includes\js\thickbox
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