Have you tried the NextGen gallery – http://www.wpmayor.com/using-nextgen-gallery-the-best-wordpress-gallery-plugin/ I’ve used this in the past to create that type of structure.

Otherwise, you could do it manually. Create all you different sub gallery pages first. Make a note of the urls for each page. Then create a new gallery page – the main one and add one image from each gallery to act as a thumbnail. Click on the image/thumbnail to edit it, and in the ‘link to’ field select custom url and add your gallery url. Do this for each image/thumbnail.

http://screencast.com/t/jLFvVSN3