I love answering my own messages.
Well, I figured it out and the WA PDF's need to be documented better. I am not sure what the the ratio of people who know (real desginers) what they are doing to people who are beginning. I basically learn from trial and error. But that is another story.
The "How to Customize a Power Gallery Design" is correct on some of the modifications, but some warnings should be added.
1. When you copy or duplicate the gallery folder that you want, the name the dreamweaver gives it is ok. Basically, it will copy if Copy of grid_fullsize. That is ok. Put that on your site with that name to make sure it WORKS. That will copy everything to your site and the links are ok
The problem comes in with the next step from the doc. It asks you to rename the docs. Most people would allow the links to be modified, but it changes the index.php file under that folder. Not good.
So, if you copy the links, make sure you copy and paste the index.php from the original folder that you copied. That will put everything in order and your new folder has the name that you wanted. Make sure you put that on your site to make sure it works.
If so, follow the rest of the documentation to modify your gallery.