I am guessing this a permission problem or something along those lines.  But I have enabled download in my gallery settings.  And when I am logged in as host, the download option is available.  However, when I log out and go to the page as an unregistered user, I only get the Slideshow option.  I did not want to require people to register to download the pictures...  Is there something else I may be missing?  BTW, I am running version 03.01.12 in DNN 4.3.5.  I know, I need to upgrade, but that takes planning and work :-)

In order to allow downloading you need to go into the gallery configuration screen and assign a user (or all users) the ability to download files. 

But the 3.x.12 beta version of the gallery has a bug in the code that causes an error when you try to set the users to the download roles.  So you will need to upgrade.  Any of the 4.x versions of the gallery should have that fixed in it.

Probably not.  The new gallery modules were compiled against DNN 4.4, so it will most likely error when you run it on DNN 4.3.5.