The jAlbum uploader is just an embedded FTP program. The same settings that work in something like FileZilla should work equally well in jAlbum. Make sure that they're the same, including host name, user name, password, and type of connection. For "type of connection," try each of them - one might work better than the others.
Also make sure that your firewall isn't blocking jalbum.exe.
Now it says "Righ clich the folder that holds your site...."
Where do I do that?
Choose Tools, Upload/Manage, then Connect to your web host. Now, you need to tell jAlbum which folder on the web host contains your site. It's probably public_html. Right-click on that folder, and choose Mark as web root. See screenshots.
This is something you need to do only once. jAlbum will remember it after that.