There is no tutorial because FTP is just a protocol to send and fetch files. It's a communication between your computer and the server where your website is hosted. It's not related to Zenphoto.
Most hosting companies have tutorials on how to use FTP and they will also provide you the credentials to gain access. So please contact your host.
You'll need an FTP client like FileZilla(free) There are many more to be found on the web. All basically work the same.
You can rename the "albums" folder and also place it above the webroot for example. You need to define that on the config file directly. The part is commented out. Note the comments on drawbacks.
But as Fretzl said it must be the same server, outside on others is not possible.
Comments
Most hosting companies have tutorials on how to use FTP and they will also provide you the credentials to gain access.
So please contact your host.
You'll need an FTP client like FileZilla(free)
There are many more to be found on the web. All basically work the same.
how can I check where all photos are stored?
is there any way you can change the default folder and place it on another storage? (this is for feature)
But as Fretzl said it must be the same server, outside on others is not possible.