By default, SlidePress presents slideshows inline your blog posts and pages. You do however have the option of launching your slideshows in a ThickBox Javascript modal window. Here's how.
Click on the "Setup" link in the SlidePress admin box, and look for the "Presentation Effects" area. Check the box next to "ThickBox Mode".
To use an effect you have to use a different embed markup than the one SlidePress publishes for you when selecting / creating galleries in the edit post interface. Copy/paste the following into your blog post/page:
[slidepress thickbox='gallery_id' title='mytitle' image='mypreviewurl']
With the markup in your post, edit the following parameters:
gallery_id - This is the ID of the SlidePress gallery you wish to launch. To obtain the ID, click on the "Manage Gallery" link in the SlidePress admin box. The left column displays the IDs.
mytitle (optional) - The text entered here will display at the top of the ThickBox window. If no title is entered, the SlidePress Gallery Name will be inserted.
mypreviewurl (optional) - An absolute URL (http://) to the image you'd like to use in the post to launch ThickBox from.