Hi Bruno, this usually happens when the incorrect class is used. For example, in case of a div (meaning inline html content) you will need to:
1. Go to Settings > Media and activate the Inline Content option.
2. Use the class fancybox-inline for the link that is supposed to pop up your div content.
If you want, you can send me a link to your web page via our contact page so I can take a look at what is going wrong in your case.