I'm using a jQuery library named Facebox. I have the jQuery and Facebox libraries along with a bit of init code loaded on every page by altering the default.aspx file.
For the Why link that needs to be part of each page, I have it as part of the skin. For other popups, that only need to be in a single place, such as the 'How do memberships work' on the first page, or the version popups on the download page (these are driven by sqlview pro), I just add the proper link that facebox is looking for and presto, everything works like a charm.
You can find Facebox here,
http://famspam.com/facebox