Check properly that you have activated the module in an existing template position.
If you are using firefox or google chrome the right click on your website and click on view page source. In the source code see if file like jquery.disfancybox.js and jquery.disfancybox.css are loading. If the files aren't loading then it will make sure that module isn't activated on the page.
If the joomla cache is activated try to clear it once after you make the changes to the module parameter settings.