something which isn't described and was the case in my installations is file-permissions.
When I checked a single picture I got a "not permitted to view this file error"

when I checked the image permissions they were set to read/write only for owner which on most webservers fails.
I changed to 755 and tataaaaa
the pictures appeared...

I've actually checked your page too and you do not get as Steven suggested a 404 error but a
Forbidden
You don't have permission to access /juicebox/images/pic1.jpg on this server.
Additionally, a 404 Not Found error was encountered while trying to use an ErrorDocument to handle the request.

So you have the same problem. It seems the app (at least in my case (Max)) does not produce the correct file permissions...
So change to 755 for the image folders (in my case I did it for the all gallery files)
and you should be perfectly OK...

Best regards

Hmmmm...
I am sorry to partly disagree:
I've checked the permissions of the images folder in my OSX 10.7.5
and tough the picture itself has correct rights, the folder above (images & thumbs) is too restricted, thus the forbidden error (and not a pure 404)
-rw-r--r--  1 alvaroprudente  staff  133012  9 Nov 19:36 PB060032.JPG
-rw-r--r--  1 alvaroprudente  staff   85982  9 Nov 19:36 PB050015.JPG
-rw-r--r--  1 alvaroprudente  staff   90287  9 Nov 19:36 PB050006.JPG
-rw-r--r--  1 alvaroprudente  staff   82231  9 Nov 19:36 PB050002.JPG
Manzanita15:~ alvaroprudente$ ls -ltr /Users/alvaroprudente/Sites/CaneloDigital/PaginaNueva/simpleViewer/
total 32
drwxr-xr-x   7 alvaroprudente  staff   238  9 Nov 19:35 svcore
drwx------  52 alvaroprudente  staff  1768  9 Nov 19:36 thumbs
drwx------  52 alvaroprudente  staff  1768  9 Nov 19:36 images
-rw-r--r--   1 alvaroprudente  staff   587  9 Nov 19:38 index.html

Thus the error:
Uder unix/linux/OSX and apache not only the specific rights of a file do have to fit but also the whole permission structure above: folder, overfolder, etc.
I've checked the URL you suggested gives this error:
Forbidden
You don't have permission to access /juicebox/images/this_image_does_not_exist.jpg on this server.
Additionally, a 404 Not Found error was encountered while trying to use an ErrorDocument to handle the request.

So you see in first instance you get the forbidden error due to "no read rights" on the images folder.
Then in second instance you get the 404...

But anyway to correct this you simply have to change the rights of the images & thumbs folder to 755 and voila...