Step1: If you have not already created a gallery then first create one through the "Media gallery Manager" and add a few media to this gallery.

Step2: Once gallery go to "admin options" page and select the gallery you want to display. You can just choose the gallery for the first time and press save. Later visit admin options again to further refine how gallery will like.

Step3: (optional) if Comment moderation on meida is on then use the comment moderation page to approve/disapprove media.

(you can visit this help again by clicking on module actions->help)