This try to show how to have a link into a colorbox to close this box when the content of this is in an inline mode.
So, we have a link to open a colorbox. The content of this colorbox is not displayed on the page, but we do not open an iframe/popup. The colorbox content html code is just below the link.
When click "Click me!" we got the overlay which can be closed on click on the 'CLOSE' link (evenif by the way it's not an anchor).
I hope code is easyier to understand than my explainations... ;-)