I'm going to guess:
select wp_ngg_gallery.name, wp_ngg_pictures.filename
from wp_ngg_gallery, wp_ngg_pictures
where wp_ngg_pictures.galleryid = wp_ngg_gallery.gid
order by wp_ngg_pictures.imagedate DESC
limit 0,1
If there's a specific GID you want, you could do:
select wp_ngg_gallery.name, wp_ngg_pictures.filename
from wp_ngg_gallery, wp_ngg_pictures
where wp_ngg_pictures.galleryid = wp_ngg_gallery.gid
and wp_ngg_gallery.gid = $gid
order by wp_ngg_pictures.imagedate DESC
limit 0,1
(The $gid is valid if you're query is a string in PHP, you didn't say, though, if that's what you're using)
It's not clear if wp_ngg_pictures.galleryid is a foreign key to wp_ngg_gallery.gid but it's the most likely choice given the info you supplied. If it's not (if you can have galleries with no images), you might want to modify the other guy's query (using the outer join) by adding and wp_ngg_gallery.gid = $gid
to it.