Based on another thread, this could be a filesystem permissions issue.
Maybe you have write access, but not read access?
Use your ftp client and try to check the permissions of the gallery folder.
This can also be affected based on who "owns" the folder. There are three classes of permissions:
Public shouldn't be able to write period. Read and execute is (usually) fine.
The owner is usually the one who created the file. The group (by default) should refer to other members of groups the owner belongs to.
Does the owner and/or group have write but not read access?
With just FTP, you can't change owners/groups etc (that I know of), but you can change permissions (Check your FTP software documentation). I use Filezilla, and you just right click and select permissions.
You will have to contact your host about the details. Some hosts will allow shell/SSH access (bascially, command line access to your server) so you could use chown or chgrp to change owners and groups on files. You will have to find out what user your server/wordpress is running on, etc.
Basically, it is pretty dependent on server setup what exactly you would need to do to fix it if this is the problem.