I can understand the confusion now that you mention it. On the front page if you click a picture it just appears overlayed. To go to the album, click the album's name (the header above the row of thumbnails). This displays all the pictures for the album and clicking any of these thumbnails brings up a larger version.
I was initially confused. I expected to click a picture and see that picture alone OR go to that album. After a while I figured that I should click on the Albums link at the top to go to the album page. I much preferred this method.