From the menu, select Components > Event Gallery > Manage Events > New. Give the Event a meaningful name as "Title" and specify a name for the folder to hold the jpeg files - normally this will have the same name as the Event itself, and be located under images/event gallery.
After Saving, a new option to "upload files" will appear at the top of the screen.
If you have all the photos together, it is a simple matter to upload them directly. Then make sure the Event is "Published". You may also like to change the "Event Layout" to hide "Show Date", otherwise the Event creation date will be shown. Similarly, if you don't want to display details of the technical details of the photo, make sure that "Show EXIF" is switched off.