The DotNetGallery.dll needs to be in the galleryfordnn_module.zip file.  I added it and now I don't get the above error message and it seems to have installed correctly. 

Now the problem that I am having is that I get this error in DotNetNuke 2.1.2 after I add the module to a page.

A critical error has occurred. The file couldn't be accessed. This may be a security problem.

 

DotNetGallery doesn't seem to work with DotNetNuke 2.1.2.

 

If anyone has gotten it to work, please let me know.