After installing the webpart piece on the Sharepoint server, did you then proceed to add a new webpart page following the blog posts found here? I generally use the "without Credentials" option more often than the other one.  Also, what version of Sharepoint are you on?  Im assuming from your note above that you created a new page in Sharepoint, point the page at the vFoglight URL, and save it.  However when you click on the link in Sharepoint it is launching the page in another window?  One key piece that is sometimes overlooked is the URL formatting.  Did you format the URL in the webpart like this? http:// : /console/foglight_ext?viewId=  Where "foglight_ext?" being the main difference from the normally provided links?  
I have deployed the web part for vfoglight to sharepoint so I can view the dashboards.  However, when I drilldown the dashboards, the page got redirected to the vfoglight server.  I tried with page viewer web part and it is the same.  Is there a way to force the user to stay on the same SharePoint page?  Thanks, Frank    
vfoglight dashboard sharepoint web part