If you do not know how to create galleries, please read this article before proceeding.
In your site admin dashboard, go to Galleries -> Add New menu and create a normal gallery by uploading your best images and setting up featured image (for archives) and other elements that you think are necessary.
On the top right section, you should see a Publish box. Click on Public Edit link.
Select Private option and click OK. This should now set your gallery as private. Only Editors and Administrators of your website will be able to see that particular gallery.
Alternately, you can also set the gallery as Password Protected and which maybe better for normal uses such as you want a certain private function photographs to be seen only to the particular client. In that case, you can provide the URL and the password of your gallery to the client for downloading or viewing it on your website.