Download and enable the Menu Attributes module.
This will let you add a rel attribute to any menu item. Add "lightframe" or one of the following rel values (as appropriate):
- lightbox for image content
- lightshow for image slideshows
- lightvideo for video content
- lightmodal for inline HTML content. Note this isn't for full web pages, just snippets of HTML content
- lightframe for everything else, including external web pages.
See here to learn how to put the node content only into a lightbox (stripping out the sidebars, etc).