Sounds like a simple problem of not having IIS set up right or mistaking what the path is. Do you have a web application set up in IIS that points to the GSP files? Are you typing the right path?
Can you get to a static resource such as an image? For example, http://localhost/gallery/gs/images/calendar.gif
If not, it should be easily fixed by looking at your configuration.
Roger Martin
Creator and Lead Developer of Gallery Server Pro