Make sure you empty the browser cache before visiting the published site. In Safari do - Option/Command/E
Open the published folder for the album to make sure that the images have been published in the Media folder.
If you still can't see your albums, try the trouble shooting steps under "Fix iWeb" here...
Make sure that none of your image files have spaces or special characters in their names.
A local folder is usually NOT the webserver where your visitors will go.
Publish your pages to the webserver.
Or use an FTP app to upload the files in your local folder to the sever.
And when you want to burn the local folder to a CD/DVD then do so.
To burn CDs is explained in the Mac HELP.