1.) First, you must upload the images you want to add to your gallery into your file storage ("Files" => "Upload files").
2.) Then create a new subfolder for your gallery ("Files" => "Manage files" => "Images" => "Create subfolder").
3.) Select the pictures you want to add to your gallery and move them into the subfolder.
Now you can create your gallery:
4.) In the menu click on "Extras" => "Galleries" => "Create a new gallery".
5.) Select the images subfolder which you want to use for this gallery (the one you created before).
6.) Choose the gallery type (Listing / Slide show).
7.) Enter a title for your gallery.
8.) Decide whether the new gallery shall be included immediately in the visible menu of your website and finally confirm by clicking on the "Submit" button.