I ran into the exact same problem. Since I used the ASP .net Ajax, i followed the steps you asked me to follow and got it solved.
But what i really want to do is have it show up as a modal window and customize the look and feel of the window that is opened, and have a session variable set with the options that are selected in the window and use them in my parent window after the child window is closed.
Now how do I know that the child window is closed?? and from where to resume the functionality from my parent window