If you just want the URL to open in the same window, then try target="_parent"
on your anchor tag... no need to close the colorbox via jquery if you are loading a new URL anyway.
So something like this should work:
<a target="_parent" href="http://online.saintleo.edu/">Click here to return to our website</a>
If, however, you want to open the link in a new browser window and close the colorbox on the current one... then you might want to consider writing a new function and calling that instead.
So something like this from within the iframe:
<a onclick="parent.myfunction();" href="#">Click here to return to our website</a>
And then a function similar to this one in the parent:
function myfunction() {
$.colorbox.close();
window.open('url');
return false;
});