First of all, I see all 11 thumbnails as thumbnails. I’m using FF 3.0.1. What browser are you using?
Clicking on a thumbnail and having it open in a separate Attachment page is the default behavior for the Gallery feature. If you don’t want this to happen, you can’t use the Gallery feature. There’s no way to change this default behavior.
If you want your thumbnail to link directly to the full-size photo, you’ll have to insert each thumbnail separately using the Media Library tab of the Image Uploader and then link each thumbnail to their larger image in the Link URL box.