I need, that a visitor can write comments to photo in Gallery module. I'm using Fancybox template. As I see, I should change jquery.fancybox.pack.js, but what exactly I'd change I don't know...

Seems more likely that you need to change the template in Gallery...

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Extensions » Modules/Tags click the name of the module/tag or Help to the right to get its parameters.
Right click and view source is a great way to see what you have to work with.
Check ver. CMSMS, PHP, server OS, in System Information page.
Default content http://multiintech.com/defaultcontent/
Ever wonder what happened to the Album module? Well it is alive and well.
http://album.multiintech.com/

I need to show these comments in pop-up window, where big photo represents...

If you were using Album I'm sure I could figure it out, I had Comments working in Album before...

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Extensions » Modules/Tags click the name of the module/tag or Help to the right to get its parameters.
Right click and view source is a great way to see what you have to work with.
Check ver. CMSMS, PHP, server OS, in System Information page.
Default content http://multiintech.com/defaultcontent/
Ever wonder what happened to the Album module? Well it is alive and well.
http://album.multiintech.com/

Unfortunately, my site works on Gallery module and I need to add CGFeedback to Gallery module. Any ideas?