It's because you are calling the plugin once the document is loaded but not after clicking on the down arrow.
If you go to your site. Click on the down arrow. Open the js inspector and copy/paste this
//jQuery.noConflict();
jQuery(document).ready(function(){
$("a[rel^='prettyPhoto']").prettyPhoto({
social_tools: false,
theme: 'light_square'
});
});
You will see it's working.
So try to trigger the prettyPhoto once the pictures are loaded.