Can you be a bit more specific what exactly the issue is?
Which version are you using and on which OS?
Are you trying to save a web gallery locally, if yes please refer the link: Adobe Photoshop Lightroom Help | Preview, export, and upload webphoto galleries
Hope that helps.
I'm sorry, I should've been clearer.
When Lightroom generates a web gallery, the end-user cannot right-click a photo and save it. The option simply does not exist. It seems like a minor thing (and very handy when you want to protect your images int his way), but in some cases we may want to deliberately share photographs with others and allow them to download and save the images (in a straight-forward way).
OS 10.11.2 with Lightroom CC 2015 (current), tested on Safari, Chrome and Firefox.
Please excuse my ignorance, but where will I find the Sharing Options dialog box?
In LR Library you have to mark a collection for sync (click left of collection name) and a web link is automatically generated (top right above thumbnails) when you choose public sharing.
So ... I have to accept a hopelessly outdated gallery look
Host the gallery on the Adobe site.