What happens if you preview the Web Gallery? Does it behave the same way? Or what about Exporting it to your desktop?
It sounds like the HTML isn't working right, as though the URL for the link you are clicking is invalid somehow and the default behavior is to return to the homepage, or something along those lines. You can always look at the HTML code and see if it is the correct link to verify.
Also, I don't see what this has to do with Collections. Or does this only happen when you've selected a Collection to designate the content of the Gallery and if you select your images by some other method things work correctly?