If you're using the art42-wallpaper skin that directory is correct.
You need to change one small thing on your ScriptLoader control, change IncludeColorBox to "true":
<portal:ScriptLoader id="ScriptLoader1" runat="server" IncludeColorBox="true" />
Unless you know you need the other settings I would just use what I have provided above.
Setting IncludeColorBox="true" calls the Colorbox scripts on all pages.