I'm working on a custom setup for my portfolio. I currently have my setup where the text link on the homepage takes users to the first image of the album. From there I want all albums always visible in my menu bar. When users click I want them taken to the first image. Whats the best way to do this?

You should be able to use this function to accomplish what you're wanting: http://www.zenphoto.org/documentation/plugins/_zp-extensions---print_album_menu.php.html#functionprintAlbumMenu