Are you using code like this somewhere in a JS file?
$(document).ready(function(){
SexyLightbox.initialize();
});
If yes, this will not work with update panel.
Try the following code in Page_Load event.
string script = "$(document).ready(function(){ $(function() { SexyLightbox.initialize();";
ScriptManager.RegisterStartupScript(this.Page, typeof(Page), "InitializeScript", script, true);