Categorizing images in gallery

Hi, when I click on the thumbnail images that have been uploaded using the gallery, they are previewed on their own page. Problem is, wordpress is auto categorizing these pages as ‘uncategorized’ and I can see no way to re-categorize them.

Just wondered, is it possible to use the gallery feature and when you click on a thumbnail go directly to the location of the image i.e. http://www.example.com/images/image.jpg

Thanks.