1. On disable the using popups in the Gallery Configuration , all pages would be viewed on the tab where the Gallery is added.  Not sure if I understanding you right. If this is not the answer you want to see, please give me a better discription.
2. To costomize the themes look to the DesktopModules/Gallery/Themes folder.  If you add a new Folder there it would be displayed in the configuration settings.
3. Use the Gallery Menu. I suggest first add a Album, then add images and/or movies the the album you want.

Regarding #1 - The Gallery module follows the normal DotNetNuke convention of switching to an admin skin and not displaying other modules on the page when displaying a control (such as the image viewer) other than the initial default view control. While this is often desirable when switching to a control which provides data entry or editing, it is not always the best for view controls. If a number of users would prefer that other modules still display on the page when the gallery viewer is shown in place rather than as a pop-up, this might be considered as an enhancement for future versions of the Gallery module. You may wish to add this as an enhancement request in Gemini at http://support.dotnetnuke.com.