It would help if you put the real URL in your post, then we can take a look at the site.
Anyway, the typical installation has a structure like the following:
htdocs/(the root folder of the site)
index.php (the "home" webpage)
other.php (some other page in your site)
htdocs/zenphoto/ (where you have the zenphoto files)
index.php (the gallery's "home" page)
htdocs/zenphoto/zp-core/ (all the zenphoto scripts)
htdocs/zenphoto/themes/ (where the theme folders go)
So, if you want to include zenphoto content in root site's pages you have to put the zenphoto plugin code, etc. in one of those pages php files. If you want gallery album links on you "home" page you would put the code in `htdocs/index.php`, If you want it on another page put it in `htdocs/other.php`.
The code you need to insert is the "album loop" part from your theme's `index.php` file--`htdocs/zenphoto/themes/mytheme/index.php`
If you only want the zenphoto gallery to be available for viewing, just put a link in your "home" page to `www.domain.com/zenphoto/`