It’s easy to make the gallery, just remove the margins from around your image brics and make sure to uncheck the “include Gutters” checkbox in the Row properties.
However, just like the website you referenced, the images must be all the same size and aspect ratio. This will ensure that when the lightbox is open, it doesn’t change in size as someone flips through the image. The arrows in the lighbox will normally sit inside the displayed image (as in the example site). If you want to change the properties of the arrows, you can do so by making changes to the class associated with them.
When it comes to sizing the images, you should ensure that the images are sized to the dimensions of your desired lightbox. For example, if you want the lightbox to display 1200 x 640, that is the size of the images you would use. When these images are placed on your image grid, they will display at whatever width the underlying columns are set to. However, when the image is clicked, the lightbox will open at the original image size.
If you want to have the gallery the full width of the browser window, as opposed to the full width of your page, select the bloc and select the full-width option as shown below.