The following is from the Photo Gallery Manual.
I, Bruce, suggest once you click through to the Coppermine (programs name) home page you will notice that you are already logged in. Go to the far right icon (profile) and create your first category BEFORE you upload your first file.
Please don't use the "no category" option!!!
Once you start the upload file process you need to select the dropdown arrow & select your newly created album for the file to go into.
You can select 'properties' to change how that category can be viewed. (everyone, only members or private. You can even password protect them)
Creating albums

Choose a category from the dropdown list "Select category" and highlight the selection where you would like your album to reside in. (or choose "* No category *" if the album should go into the coppermine "root"). If you haven't created a category yet, go to the categories control panel first. Or, you can proceed with these steps to first create an album and move the album into a category later. You can also perform this moving task by using the album properties page.

To create an album, click on the "New" button - a new album will appear on the list, by default this album is labelled "New album"

Click on the text input field at the bottom of the screen, highlight the default name "New album"

Then type in the album name you want to use

(repeat steps 2 through 4 to add additional albums)

Click "Apply modifications" to submit your changes to the database. failure to do so will result in the loss of all the changes you just made. You can always return to this panel to edit and change album names, sort them within their parent category, and/or move them to different parent categories.

After clicking on "Apply Modification", confirm your intent in the alert box with the "OK" (Are you sure you want to make these modifications ? button.)