Does this plugin work in any component in joomla?

Yes, It will work

Thank you, but I installed it and it doesn't simple to work. Please advise?

Have you followed the usages instruction of plugin description ??

Usages instruction : <a class="preview" href="your_custom_link" title="your description" rel="big_image_link"> <img alt="gallery thumbnail" src="small_image_link"/> </a>

I've seen the instructions, but dont have any idea of where to place that line of code

For example if you want to show the image in article page then you need to put the instruction code in the article.