A window like the one below will appear after you have saved the files to your computer.  There are two options, Upload Now, which will open the built in FTP client and upload the Photo Gallery files to your server.  The other is Copy to Clipboard, which allows you to copy  and paste the HTML code into a webpage.  

 

Note: When you click the "Copy to Clipboard" the code displayed will by copied to the Windows clipboard.  This is all behind the scenes so you will not see anything happen.  Use Ctrl+V to paste the code into your current webpage.