well i dont know if you meen the "images" directory or the directory where the uploaded images are.. (i.e. "files")
On a fresh install you can define another directory for the second (or you can empty the gallery and start fresh with 0 images in the new directory)
Example i named mine "art" (for seo reasons)
In the gallery settings you can change the directory name (filepath and file url)
but make sure your gallery is empty when you do this..
As of the "images" directory.. as chuck mentioned, there is no setting for this.