I would like to require a username and password to view the galleries. I want the thumbnail to show on the front page and the user to log into to see the rest. Where do I do this?

On the admin/options/gallery tab.
[edit]
That is probably not the option you want as it will require login to see the page. Instead you will want to leave the gallery unprotected and password protect each of the albums you want people to have to log in to see.

We use the term "gallery" to refer to the site. "albums" is the term for the individual folders of pictures.

To show the thumbnails (as opposed to a lock image) you will have to un-set the use lock image option on the admin/options/image tab

I unchecked it and it's still not locking the pics. Anything else I've missed?

Sorry, I think I do not understand. Unchecked what? The lock image option? That controls only whether a locked album will show a true thumbnail or a lock image. To lock an album, well, you have to lock (password protect) the album.