If you click on Personal Galleries, there should be a little drop down box with <<admin options>>. click this then 'new nested album'. This should create your album.
Once in your albumclick <<admin options>> again and go down to 'properties' to rename it and change some options in the album.
Thanks Keef, get the properties part happening top right but when accessing the <<edit album>> options site locks up on us. Will remain galleyless for now