You have to put your photos into an album first. So, create an album and then view the photo you need to move to this album and click the "edit" icon to move it into the new album. The edit icon should be in the photo details section under the photo. Here is what the icon looks like:
After you have your photos in an album, click on the "My Albums" link in the gallery navigation bar towards the top of the gallery. Then click on the "Edit" link to edit the album. From here, you can change the album name, create an album intro, sort your photos, and change the FRAME around your photos.
Here are the frame options and what they look like:
Paint -
Red -
Thumbnail - no frame, just the small version of the image
Frame - small version of the image with no border
Slant -
Filmstrip - looks like the black and white filmstrip border
Photo -
Page -
Round -
Fall -
Jag -
Scatter -
Stacks - uses multiple background images to create the effect - looks like multiple photos stacked on top of each other