I think I see what's happening. As a security precaution, nearly every directory in a Joomla install has an index.html file added to prevent directory browsing.
This error is being generated when the CB Profile Gallery plugin script attempts to copy an index.html file into the user directory that is being created to house the uploaded files for that user. For some reason, the script is looking for the source index.html file (the one to create a copy of) in the wrong place. Or perhaps I've accidentally blown away the file it's looking for somewhere along the line. Either way, it errors when it can't find the index.html file it wants to copy.
I think you can get by this by copying one of the basic index.html files found in nearly every other directory into your /images/comprofiler/plug_profilegallery/ directory.
I did it and it worked fine after that. Hope it works for you.