What you need to do is open plugins/system/jcemediabox/jcemediabox.php and after this line:

if ($pop || ($task == 'new' || $task == 'edit') || $tmpl == 'component') {
            return;
        }

insert this code:

jimport('cms.cck.cck');
JCck::loadjQuery();
JCck::loadModalBox();
$document->addScriptDeclaration ( 
"jQuery(document).ready(function(){jQuery('a.jcepopup').colorbox();});" 
);
return;

This trick will also work when you are using Simple gallery Pro with Colorbox engine or Modalizer in Colorbox mode or any other extension that loads jqery and colorbox scripts.