http://www.mydomain.com/zenphoto/albums/abc is just the phyisical place of the album "abc". That never appears in the url at all if you look closely. The url to an album on the front end is http://www.mydomain.com/zenphoto/abc
If you want to get rid of the "zenphoto" in the url you have to install Zenphoto in the root of the domain instead of a sub folder. This is not possible if you have already another site (CMS or not) in the root. There is no way around, there can only be one index file. This is server technique and has nothing to do with Zenphoto.