When opening the file displayimage.php one can find the table posted below. Not that code savvy myself but i do know its in this table that you have to edit to get it to skip to the next image in a album instead of closing the window.
<table width="100%" height="100%" border="0" cellpadding="0" cellspacing="2">
<td align="center" valign="middle">
<table cellspacing="2" cellpadding="0" style="border: 1px solid #000000; background-color: #FFFFFF;">
<td>
<?php
if (isset($HTTP_GET_VARS['picfile'])) {
if (!GALLERY_ADMIN_MODE) cpg_die(ERROR, $lang_errors['access_denied'], __FILE__, __LINE__);
$picfile = $HTTP_GET_VARS['picfile'];
$picname = $CONFIG['fullpath'] . $picfile;
$imagesize = @getimagesize($picname);
echo "<a href=\"javascript: window.close()\"><img src=\"" . path2url($picname) . "\" $imagesize[3] class=\"image\" border=\"0\" alt=\"\" title=\"$picfile\n" . $lang_fullsize_popup['click_to_close'] . "\"/></a><br />\n";
} elseif (isset($HTTP_GET_VARS['pid'])) {
$pid = (int)$HTTP_GET_VARS['pid'];
$sql = "SELECT * " . "FROM {$CONFIG['TABLE_PICTURES']} " . "WHERE pid='$pid' $ALBUM_SET";
$result = db_query($sql);
if (!mysql_num_rows($result)) cpg_die(ERROR, $lang_errors['non_exist_ap'], __FILE__, __LINE__);
$row = mysql_fetch_array($result);
$pic_url = get_pic_url($row, 'fullsize');
$geom = 'width="' . $row['pwidth'] . '" height="' . $row['pheight'] . '"';
echo "<a href=\"javascript: window.close()\"><img src=\"" . $pic_url . "\" $geom class=\"image\" border=\"0\" alt=\"\" title=\"" . htmlspecialchars($row['filename']) . "\n" . $lang_fullsize_popup['click_to_close'] . "\"></a><br />\n";
}
?>
</td>
</table>
</td>
</table>
Maybe someone can come up with a idea how to accomplish this.