David,
This has to do with the way WordPress handles content that you enter via admin. Whenever you press enter in the Content box, WordPress will add a tag. Pressing enter twice between lines of content will put each line into separate paragraphs. Hopefull the following examples will illustrate (code has been shortened):
Content Box
<a href=""><img /></a>
<a href=""><img /></a>
<a href=""><img /></a>
Filtered HTML
<a href=""><img /></a>
<a href=""><img /></a>
<a href=""><img /></a>
Content Box
<a href=""><img /></a>
<a href=""><img /></a>
<a href=""><img /></a>
Filtered HTML
<a href=""><img /></a>
<a href=""><img /></a>
<a href=""><img /></a>
For your page, I would suggest entering the linked images without pressing enter between each one:
Content Box
<a href=""><img /></a> <a href=""><img /></a> <a href=""><img /></a> <a href=""><img /></a> <a href=""><img /></a> <a href=""><img /></a> <a href=""><img /></a> <a href=""><img /></a>