Hi! I hope someone will help me with this... I would like to make a gallery where each picture will open in new window like here: http://www.viget.com/inspire/portfolio.

How do I do this? Do I need to use JavaScript?

If you mean the faded out background/picture to the foreground, have a look at lightbox2.

There are lots of similar galleries too such as Slimbox, Thickbox etc.