Interesting. F4 works on a Mac, but in Windows it simply reloads the skin. For now, just click the big Settings button at lower left - see screenshot.

But if you're updating from an old version of jAlbum, I would strongly suggest that you do a complete clean-out of the old stuff, and then reinstall. It will take only a couple of minutes:

https://jalbum.net/forum/thread.jspa?threadID=35746

ETA: In Windows, F4 opens the settings only if you have created a new project and added at least one object (like an image) to it. A bit strange....