Are you on a shared server? It's possible that someone else copied that file to your account due to the /albums directory having loose permissions for uploading.
If the files are still around, what user/group owns them and what are their permissions? You should be able to see this in your FTP program, or in SSH if you have access.
It is very very unlikely that Zenphoto would ever allow writing a PHP file to the albums directory. As far as I know, it only writes images, filters for images, and edits images. But, maybe the rest of the team has insights, as I haven't reviewed every line of code since 1.1 was released.
If you're on a shared server I would bet it's the directory permissions and someone just taking advantage of that; I would contact your host, especially if you see a user or group that the file belongs to.