Hi,
The article you specify in the URL of the option should automatically appear in a popup, like the demo website.
If that's not the case, it's possible that you have a javascript error on your website preventing the popup to be properly initialized.
You should check the javascirpt error console of your browser while looking at the page to see if you have an error of that sort.
If you could give a link to that page, we could look at that and probably give you some solution.
Note that options can be normal products. Suppose that you sell a computer and a mouse, and that the mouse can be sold as an option of the computer but can also be sold on its own. In that case, you will use only one product for the mouse and thus you will have to put an image for the mouse when you browse it from the listing of products.