Oooops... obviously I missed that.
I'll look a little more. Thanks for the answer.
[some minutes later]
Ok, it's so easy that I could'nt figured out how to do...
Here are some explainations for other dummies like me ;-)
In fact, no need to update the database in any way.
By FTP or SSH simply create un new directory where are located the albums. Or even a sub-directory, it works the same.
Go back to your Zen homepage : if you created an album in the /albums root directory, you will see it. If you created a sub-album, you won't. If you browse the correct parent album, you'll find it.
Zen, ;-) just go to the admin section, and update the text fields for your new album/photos...
Incredibly easy.