Simply email me the link to the page hosting ProGallery, the link to your directory hosting the images and some temporary FTP details. Then I can login and check your server is configured correctly with support for PHP and experiment with a relative path which will work for fetching your images. Either ProGallery is not compatible with your web server (which would be strange) or you've just made a mistake in the relative path.
Sometimes you can provide an absolute path, instead of a relative path. But I found some web servers do not support this and will throw an error message. So to prevent a lot of confusion, I just tell everyone that a relative path is needed. In server-side programming, relative paths are the norm for everything - because typically you are not trying to reference something outside of the domain.
In ProGallery 2 I hope to provide a basic 'set link' button where you can provide any link to a directory of images. Whether this change makes it to fruition depends on what I can get working reliability for the majority of users / server configurations.