Let's say you've created a new album about cats, and uploaded it. Say the address is http://mabels.jalbum.net/Cats/
Now, in your "master album," the one that has links to all the other albums, right-click in a clear space between the thumbnails in the jAlbum Explore view, and choose New page... Web location. In the Target URL box, paste in http://mabels.jalbum.net/Cats/, then click Update. If you don't like the photo it grabs to represent the album about cats, you can choose another one by clicking the little folder icon to the right of the Image URL box, and navigating to an image you want it to use, somewhere on your PC. Then click Update.
The password is probably working. Your browser might be remembering that you entered the password. Try getting to the album with a different browser. The Invertek album, for example, is password-protected, as are the five along the bottom, Nikon through Weddings.
If you're talking about the little "padlock" on the thumbnails in the Gromit top album, mouse-hover on the thumbnail for the web location in the main jAlbum Explore window, click More.., then click Edit. In the panel on the right, open the Gromit subpanel, and check Custom thumbnail overlay.