Could someone please walk me through how to set up albums for users? I seem to be brain dead at this time and can't figure it out.

I assume you already have the Gallery enabled.

If not, check admin>modules>gallery>configuration and set to Show the Gallery (plus any other options required in the same list).
Check also the management of the Gallery to control if your users can self-moderate their images etc.

As for users making their own album, they do that themselves by using the "Your Personal Album" link shown in the bottom left of the Gallery page itself. They can create their own album easily from there, plus view others.

PS: If you haven't increased the storage size of your gallery, it might be worth limiting the file size that users can post, otherwise "over enthusiatic" users might quickly fill your 10mb storage. To set a limit, go to admin>modules>gallery>upload and make the size change there. I find setting this to 640 x 480 is more than adequate for image dimensions.

Thank you - that seems to work! Much appreciated. I bought more storage and have limited the size. Can you answer another question please. Can one individual have more than one album, say one for 'roses' and one for 'carrots' or is it limited to one album per member.

Having just tried to create a further album, I'm fairly certain there's only one personal album per user available (I'll be happy to be corrected on this though).