Hy, I would like to make a sidebar menu where the links between them are:
http://www.hsmusicalweb.org/gallery/
I believe the them you show is a modded version of the chaotic soul template.
http://coppermine-gallery.net/demo/cpg14x/index.php?theme=chaoticsoul
Download that from the downloads section and modify it to your needs or just take a look at the code to see how it is done.
In fact there is a load of themes that do that. Browse the demo.