Not sure if I can include an .avi (movie) file within ZP? If so, what do I do once uploaded?

Zenphoto does not support .avi movies.

If I used an image as a "holder" and in the description gave the URL target="_blank" to the subfolder they're stored in, I assume QuickTime would launch and run them without any problems. Then the visitor could just go back to viewing the ZP album and carry on?

That would probably work. you can link from a description of an image to whereever you want..:-)