When using the Attachment Browser usually you see a column with the label "View Host Content (XenGallery)" where you can click to view the picture inside the appropriate album. There are however some records on the Attachment Browser that show "()" instead of the proper label. If I click on the image, it exists... however I don't know why "()" instead of "View Host Content (XenGallery)".
This can happen with any attachment that hasn't actually been finalized and associated with content yet. (Such as a user uploading an attachment for a post that hasn't been posted, or uploading an image to the gallery.) It will get cleaned up if it hasn't been successfully attached after a period of time.