Photos (and music and just about everything media-related) is in files. That's how computers work.
Gallery is an app, not a place. It shows pictures that are on the phone by looking in the media scan database. The database is updated when you start the phone. So if you downloaded pictures, you have to restart it to rebuild the database. (When you take a picture with the camera, that should trigger the phone to add the picture to the database, so the next time you run Gallery, it will find the new picture.)