It's hard to tell exactly what went wrong. But it seems that you may have problems with folders locations. You have to place your “PhotoGallery1” folder along with the index.htm and not inside the htm_files folder. Also you have to insert the embedding code supplied with this program to the code placeholder, making sure that all file references are correct.
But as I say, it's only a rough guess. It would be much better if you could attach an example design so we could check it.