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How do you select multiple images?

CTRL-click and SHIFT-click lets you select more than one photo once you're inside an album

Why have you wrapped everything in Parapgraph nodes instead of Div?

To stop TinyMCE scrambling the HTML when you switched between Visual and Source Code mode

I'd like to over-ride the default stylesheet. Where is it?

All the relevant CSS styles are located in picasa-image-express.css

Is there a way to stop margins being added to each photo?

Under settings > Picasa Image Express, find the margins option and delete the number from each field (ie make it blank). You can now control them via the stylesheet