The embed element goes where you want the images to be displayed. You add the images to the CMS and the code grabs that image for user in the Lightbox.
If this is something you’re going to need, I would suggest opening up the preview of the demo and having a play around with it to familiarise yourself with it. The bridal pages on this website use it: www.dreamdaysbridalwear.co.uk/bridal and it’s all done via the CMS.
You can also create a manual one using interactions in a pop up modal, but you won’t be able to press back or forward arrows, instead you have to close each image before opening the next.