I had to copy and paste the jquery.prettyPhoto.js file from this site. Download whatever version you want (I downloaded the development version) and just copy that file along with prettyPhoto.css and all the images located in /images/prettyPhoto/ into your directory and remember to call jquery.prettyPhoto.js and prettyPhoto.css in header.php.
You will also need to change the image paths in prettyPhoto.css to where ever you put the image files from /images/prettyPhoto/
After I did that, the plugin worked for me.
Nevermind I figured it out with some research:
I put this on my page:
[fpg cat=”YOUR-Category-ID-Here” orderby=”title” order=”asc”]
If anyone is reading this – you put your own cat=”ID” in that space I have labeled “YOUR-Category-ID-Here”