You've got something wrong somewhere!
Look at your page's source and find the H3 containing "Shadowbox Test". Immediately following that element is an
entire page, which brings in the Shadowbox includes and a link ("My Image") pointing to a jpg.
This is not correct! I don't know how you've managed it, but somehow, instead of getting the Shadowbox files included into Joomla's head section for the main page, you've loaded a full page document into the tabs module.
If you're not using a Joomla extension to implement Shadowbox, change your template to manually include the Shadowbox files, with additional javascript to run the Shadowbox.init(), and just put your test image link into the tab as plain html (like the other tabs).
Combine literacy with curiosity and a whole world of information opens up to you