Each Photo Gallery is a node of content type "Photo Gallery" that has several images attached.
See all existing Photo Galleries
To add a new Gallery, go to Content -> Add Content -> Photo Gallery
To add images to an existing Gallery, edit that Gallery and add images to it. You can re-use images already in the files directory by browsing to them with the File Browser.
To upload a whole batch of images all at once to a Photo Gallery, use the "Advanced Upload" link under "Add new file."
You can upload images of any size, but the maximum size shown in the colorbox slideshow is 800 pixels wide.
If you click on one thumbnail, it opens a colorbox slideshow of images starting with the one clicked on.
The image Title field functions as the Caption for the image.