It's a JS error popping up. Try this dev version please: github.com/joomlaworks/simple-image-gallery/archive/master.zip

Let me know if it fixes things up for you.

By the way, what Joomla version are you using?

@Joell the problem in your case is the fact that either your template or some system plugin is moving all JS scripts at the bottom of the page, supposedly for performance reasons. You need to find where this is being done and disable. SIG will be your least problem if you leave that option enabled.

@Rachel The problem in your case is that FancyBox, the popup engine used in Simple Image Gallery, is already loaded 2 more times in your site, by Virtuemart: jmp.sh/rfX9es0

This is an error obviously as Virtuemart should not load the old Fancybox script twice and it should also load a newer release. You need to either update Virtuemart or figure a way to "kill" these 2 Fancybox instances being loaded.