See also the official documentation:
Help Center > Members Manual > Working with photos
How to Make a Photo Album
1) Click on the Photos selection on the left menu
2) Click New Album. A window will open with the following:
Album Title (name the album, for example, Example)
Description (add a description of your album, if you wish) Note: There's a limit of approximately 800 characters for this. Anything longer may not show up on the album cover photo, depending on composition and screen size.
Select "Group Access Any group member can add photos to this album." or "Personal Access Only you and the moderators can add photos to this album."
3) Click Create
You will get a page with this:
4) Chose what you want to do from the options
+ Add Photos +Edit Album + Delete Album
You are adding, so click adding and you will get a window that says
5) If you are adding from photos stored on your computer click BROWSE Find the folder with the photos you want to add. Click on the first, hold the Shift key, and click on the last photo to select all in between. If you don't want to be inclusive, hold the Control key for the second and successive photos.
6) Click open and your photos will load into the window. If for some reason you change your mind, just click the little trash can to remove the list.
7) Click Add and they will go in the Album on the group. There is no progress indicator, so please be patient.
The photo loader here pretty much walks you through making an album. You can also edit your album photo by photo if you like and pick the photo you want as the cover for your album. Just open the photo you want as cover and tick the box for Cover Photo