This may just be a paths issue you are experiencing, if you can see any sort of box that indicates that the code for the gallery is running but not finding the images properly.
As a test of this in the root of your site create a new page to apply the gallery to. This should be a new blank page and not a wordpress page. Add the gallery to this page and test it out to see what the result you get is. If you have the same problems then you will need to take a look at the include code you have and adjust it to ensure it is pointing to the correct location.
If you continue to have problems with this and cannot get it sorted out let us know so we can look into this further with you.