The [gallery] shortcode allows you to embed thumbnail images and captions that link to other pages. See also "The WordPress Gallery"
The easiest way to implement a gallery is to insert the shortcode, [gallery] into the page, and then save the page. The WYSIWYG editor will then show a box with "No items found"
Clicking on the gallery box in the editor space will reveal "edit" and "delete" icons.
Clicking the edit icon will bring up an "Edit Gallery" page where you can upload and/or select images to place into the gallery.
If you embed images that are attached to a page, the image will become a link to that page. Otherwise, the link will be to the internally-generated media page where meta data is displayed and links to other images are provided.