Hi Jo,
I've just had a look and it appears as though some are links because you've included the ....html URL of the image's page in the gallery. To make the pic appear in your post, you need to copy the file name of the image instead. In Firefox right click on the image and choose 'copy link location', in IE right-click and you'll find the info in properties and it should end in something like ...jpg.
Once you got the code, click on the image button in your diary post and add it in there. That should hopefully fix it.
Stu