Here's what I had to do:
When you first copy the Power Gallery files and folders to your local site, for some reason by default they are all marked as read only.
In your 'Files' panel in Dreamweaver, right-click the folder that contains your Power Gallery files and folders and click 'Turn off Read Only'. Then re-upload the Power Gallery files and folders to your remote server.
Then try going through the admin set-up again.