al instalar el módulo e_gallery y empezar a instalarlo me pone lo siguiente:

CHMOD Check

We will first check to see that your CHMOD settings are correct in order for the script to write to the file. If your settings are not correct, this script will not be able to encrypt your data in your config file. Encrypting the SQL data is added security, and is set by this script. You will also not be able to update your preferences from your admin once your site is up and running.

Please set your CHMOD on config.php located in admin/modules/gallery to 666 so this script can write and encrypt the DB data

es eso último lo que no entiendo que tengo que hacer.

Alguien me echa una mano?

Desde tu cliente FTP, debes cambiar los permisos del archivo config.php a 666.