The syntax of this JEmbedAll feature is [ lightbox = path_to_the_file ] - without the spaces, and replacing the path with the real path to the file. You can add the text inside an Joomla article, a Joomla module or inside the script - the plugin will recognize it and embed the Lightbox.
For example, the path to the nice image you can see in the welcome pop-up is this: "images/welcome-message.jpg" or "http://www.goldengravel.eu/images/welcome-message.jpg" (if you want to embed it via internet, from another server). So, the lightbox result is as following:
In the Joomla administrator section / Components / JEmbedall you can edit this string - you can change its name and the CSS code attached. Using the CSS code you can set the width and height of the embedded image, the position and other attributes (like the margins).