In my albums, when I click on the thumbnail, it open up the new page and you can click on the image if it is bigger than the image in the page but on mine, it's already the actual size when I click on the thumbnail. Example: http://funkycaps.org
Television>24>Season Three>Episode 01
you'll need to create intermediate images (config option)
http://coppermine-gallery.net/demo/cpg14x/docs/index.htm#admin_picture_thumbnail
enable it anmd then run the admin tools