It's not that the files aren't where they're supposed to be. It's that a browser will refuse to open them locally. See this sticky thread:

https://jalbum.net/forum/ann.jspa?annID=213


You need to upload everything that's in the project's output directory - Tools > Open Directories > Output directory.

But while you can certainly use FileZilla, I would strongly urge you to use the jAlbum uploader. The first time it uploads a finished album, it will take about the same length of time as FileZilla. But because the uploader uses a manifest file, if you make any changes to the album - adding a few images, selecting different skin options, changing styles, or changing the skin - the jAlbum uploader will be an order of magnitude (or more) faster. If you're just adding a few images to a large album, it can be hundreds of times faster.

The uploader also cleans up after changes. So, if you remove some images from the project, or if a change of settings or skins yields a different batch of resource files, the uploader automatically removes, from the server, the files that are no longer needed.

That's pretty much correct. This only applies to the JSON-driven skins, of course - there are other skins that don't use JSON files, and those can be viewed locally without any messing around.

It's possible to turn off the security in your browser, but that leaves you open to all sorts of nasty stuff out in the wild.

For reasons that escape me, Plain albums can't be previewed locally, either, despite the fact that they're not JSON based.

ETA: They produce a CORS violation.