Well, I'd say definitely change the link color for the page numbers to white. Blue doesn't go too well on black. Actually, you could hide the links completely (use "visibility:hidden"), so that they are only there for the script's reference and then keep the PREV and NEXT links.
By the way, you said that the filenames were there for a reason... out of curiosity, what reason?
The way the script is I can't use Prev/Next buttons anymore. There is actually 1 long page of thumbnails, and were using <TBODY> tags to break it up into multiple "pages", and hacked the Javascript file to hide every other "page" of thumbnails, so even though there is one long page it appears as multiple pages. This way the slideshow can go through all the photos, instead of just one page at a time. I think there's more to it then that, but this stuff confuses me LOL. My friend has been doing all the hacking to the script.
As for the links Im going to either change the color or make Images that just say 1, 2, 3, etc..., and use them for the page numbers, haven't decided yet. As for the file names their there to make it easier to reference images when im telling someone to look at a particular image (EG Take a look at DSCXXXX). I don't like them much my-self, and will probably just get rid of them, but not sure yet.