Sorry for the delay, but I'm just very very busy now.
I looked the site (22.214.171.124) you mentioned on the other post and found the gallery page (http://126.96.36.199/gallery-3/). It seems that you drag the thumbnails on the wrong page. You've probably dropped the thumbnail on the caption's dedicated editor (after landing on the edition page by clicking the edit link).
The drag&drop operation occurs on another page.
On your admin panel, the plugin creates one main menu called Cnhk Slideshow, which have two sub-menu: Slides (let's call it A) and Slideshow (B).
First, go to page A:
click on the thumbnails on the right part of the screen. And editor will appear. Delete the content of this editor (the thumbnail) like deleting everything else inside posts or pages and save the changes. If the editor doesn't show up, you can do this by clicking the edit link you've used before. You will have to do this with all slides (64 when I visit the site :) ).
Secondly, go to page B:
This page has two tabs. One called Slideshow, the second Slides order. The drag&drop operation happens here, on this second tab of the B page. You can also re-arrange the display order of your slides.
Normally, the slideshow will work properly after you remove all the thumbnails nested in the caption zone.