Can I use a JQuery Dialog to open up an external web page, and if so - how?

Essentially, I want to replicate the abilities of LightWindow using JQuery (LightWindow is based on scriptalous).

www.stickmanlabs.com/lightwindow/index.html

Ideally, I want to use something that is apart of the JQuery core. If it need to be a JQuery plug-in, that's fine but I would really like to have it be apart of the core functionality of such features already exist.

Just to expand on JCasso's great answer, you can handle this all in JavaScript:

<!-- language: lang-js -->

$("a").click(function (event) {
    event.preventDefault();
    var page = $(this).attr("href");
    var title = $(this).text();
    $('<div></div>')
        .html('<iframe style="border: 0px; " src="' + page +
              '" width="100%" height="100%"></iframe>')
        .dialog({
            autoOpen: true,
            modal: true,
            height: 800,
            width: 400,
            title: title
    });
});

Now any links on the page will be opened in inside of an iframe in a dialog box.

Working Demo in jsFiddle