A very simple way is just set <portal:ScriptLoader IncludeColorbox="true"... in layout.master.
Then you can decorate any link with class="cblink" and it will automatically open in a colorbox without any additional coding on your part.
However if you don't like the standard colorbox settings and want more control then you would need to do something like what Erhan suggested so you can control all of the colorbox settings.
Hope that helps,
Joe