A word of caution. If you run WordPress 3.01 or upgrade to it, Fancy Zoom, and a number of similar plugins, simply stop working. It's been at least a month since that happened but there has been no notice of an updating of the plugin to restore its functionality.
Otherwise, it's very easy to use. Just make sure that when you add an image, or a gallery of images to a page, you click on the "link to image" button near the bottom of the configuration screen.