Bug identified - Solved!- (well worked around!) I need a little help to test this and get a REAL solution.... one that doesn't break stuff!
Right - so first we need to look at why Flikr module works ok with IE6,7,8 and the Gallery module does not.
Looking at the generated html it shows that the Gallery module, in addition to generating a table of images to be accessed via Lightwindow for the current gallery page, ALSO produces two hidden divs (with display set to none) of links, which represent the rest of the gallerys pictures from the other pages. One set of hidden links for images prior to the current page (placed before the table) - then a second set of links for the remaining images after the current page (placed after the table). The Flikr module simply provides the links for the current page.
IE's problem appears to be that instead of feeding Lightwindow the data for the item clicked from the table it appears to grab the Last of the hidden links prior to the table element - hence the reason it appears to work fine on the first page - when the prior hidden div is empty. This behaviour seems peculiar to IE.
Next thing to find out was what I'd broken... the one thing I've noticed so far is that I have broken the image "counter" eg. "image 45 of 78" - This now only gives the number of the image in the current page rather than the image number in the gallery as a whole. I am guessing that the hidden div's were a solution to this - which in turn caused their own problems. At least that's what I'm hoping cos I can live with that!
Please can someone who actually knows what they're doing take a look at this to see if this is a workable solution - or if those hidden divs had another purpose... and/or find a way to restore a proper image counting solution that doesn't break IE?
I'll add this as a proposed solution on the bug tracker - until something better turns up.