There are various scripts for displaying a modal window. You can use a modal window without the disadvantage of users navigating away from the actual page.
LightWindow is a free media viewer that supports every media type and renders it appropriatly. You can create your own theme including markup/css/animations.
Lightbox is a free simple, unobtrusive script used to overlay images on the current page. It’s a snap to setup and works on all modern browsers. At this moment it only supports images.
FancyBox is tool for displaying images, html content and multi-media in a Mac-style “lightbox” that floats overtop of web page. It was built using the jQuery library.
On this blog you can find a nice comparisment between a lot of lightbox clones