I can’t watch Gillian’s interview on watch what happens live, I tried couple of times already but I turn it off after 20 sec every time. So is it in this interview that Andy mentions something about a private picture and Gillian goes all worried « what picture??!!!! » And then it was something else completely?

Nope, the picture thing happened on Jonathan Ross last year, i think this one is on YouTube.
The Watch What Happens Live one is the one where she was asked about the possibility of a relationship with David and she answered “that’s interesting, yeah…yeah…” But I feel you about not being able to watch it. It’s embarrassing from the beginning to the end, and yet, it’s totally worth watching for this moment and one or two others.