HELP! Cant install my gallery

Please help me, I have no idea what I am doing, I created a website but copy& pasting my images makes them look pants so decided to add a gallery only this message keeps coming up, what am I doing wrong?
"Album does not exist. Please create it"
What does this mean, the page that I want the gallery to go to is there!
I'm totally confused, please help damsel in distress!
xx