You have to create one before you can select it. You can create galleries by uploading images to the Media library - or directly IN your page or post. If you upload in a Page or Post, those images are "attached" to the page or post.... but are also part of the Media Library. You can upload images via the main Media tools and those will not be associated with any particular page or post.
To create a slidepress gallery, use the Create New Gallery option from the dropdown button. Name the gallery. Ok and save your page or post.
Now, from the slidepress button again, choose "select gallery" and you'll get a menu of the available galleries you've created. Choose one (there's only one probably)
Save and test.