Have you read the documentation on how to set up Kentico and how to use the webparts and other elements of Kentico? I'd suggest starting there before getting in too far.
There is a module in the Development section called Javascript, create/upload your javascript files there. Then make sure you fix the no conflict issue, you can read about it here.
Then in your page template add a javascript webpart to your page and set the reference to it like so:
<script src="/CMSPages/GetResource.ashx?scriptfile=/CMSScripts/Custom/<sitecodename>/vendor/venobox.js" type="text/javascript"></script>
I highly recommend reading this single page of documentation if you plan to have any kind of success with how Kentico works, import/export and standards.