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when gallery is created and published and when you click on thumbnail, big photo opens in jquerry efect (with previous/next, close button etc).
But, when you click on big picture it leads to the picture node. As I can see, there is no way to prevent such behavior.
Usually, when big photo in Jquerry overlay is clicked, next photo in gallery is loaded. This behavior is strange, and user should have possibility to control it (prevent it).