We quite often have questions on the Expression Media forum about how people can take the galleries they created in Expression Media and integrate them into their overall website in Expression Web.
To answer that question in a central location, here is a tutorial using the sample images in Windows (XP, but Vista has some too). I'm really starting from scratch, so if you already know how to use Expression Media to create galleries, I apologize for being too granular.
This creates your catalog. Your gallery will be created from any images that are showing when you create the gallery. So, to illustrate that, hide one of the images by clicking on the thumbnail and clicking Find --> Hide Selected.
Note: You will not have a link back to the rest of your web from the gallery unless you open the index page and add one. You can do that or let people click on Back to get to the rest of the web.
To get around the lack of a link back to the rest of the web, I created a custom template with a navigation bar to the different sections of my web. So to get from any of the galleries to anywhere else in the site. I also have several galleries, so I created an index page manually with links to each gallery. This is the index page:
This is a gallery:
If you are interested in creating your own custom template, see http://blogs.msdn.com/xmediasupport/archive/2007/12/27/under-the-covers-how-html-galleries-work.aspx.