No, this is not it, I don't have a picture of the building itself. However, this little museum houses one of the most important viking gold hoards found in Denmark, the Ramlose treasure. It also shows life in Gilleleje in general through the years, including shop interiors, Gilleleje's history as a spa and bath town and a bit on the Danish Jews that were rescued during WWII and taken to Sweden. There is also a collection of stuffed migratory and seaside birds.
Connected to Gilleleje Museum is the "Ships Halls" with three wooden fishing boats in a sandy setting, to show you fishermens' life throughout history (and how they survived out of season), the importance of herring fishery here since the 1500s and some other things. Next to it is "Det Gamle Hus" which is just that, an old house. It is quite pretty and shows a 19th century interior, including things from its inhabitants, smiths and a shoemakers. We never had time to visit these so I cannot give you a personal comment (another excuse to go back).
The old part of Gilleleje is a joy to stroll around and look at cottages and gardens. In the travelogue below, there are many more houses to look at. Many have thatched roofs and several are old fishing yards with names of the owning family or profession they belonged to. All have lovely gardens.
This being the tip of Sealand, of course it has to have a lighthouse. You can see it from the harbour but it is in a forested and hilly area back towards Hornbaek. You can visit its Museum of Lighthouse History and the grounds with views so famous the royals came here to see them. A famous Dane called Löwenörn also covered bonfires with glass cupolas here for the first time, thus developing something on the way to a modern lighthouse.