Ok, solved.
Permalinks messed up with the structure, I just had to make a root link for each image.
Forget about it, it worked. 😉
Just as bakingandbooks:
I have implemented all the suggestions you made but still the thumbnails are linking to the post preview page. I disabled the JS effects, installed the Next Gen custom fields plugin and edited line 42 of gallery.php and gallery-caption.php. Still no luck though – the gallery displays as if I hadn’t made any changes at all, with thumbnails linking to post preview page. I’m using [nggallery id=1] to call my gallery…
And the urls seems to be ok…
Any help?