Maybe some terminology definitions are needed here:
When I refer to the index page I mean the page created by your theme index.php script. In a normal Zenphoto theme, this is the main gallery level page that displays when a user visits your site by just specifying the base URL.
Other pages of interest are album pages--the album.php script and image pages--the image.php script.
So, to change a theme so that there is an introductory index page, you first take the themes original index.php script and rename it to, say, gallery.php. Then you create a new index.php script which defines the page you want to display when a visitor first accesses your site.
Then you change the custom index page option to `gallery`.
Anything you make in the new index.php script will show only when people visit the base site. The gallery.php page will be linked to in breadcrumbs, etc. as the album index.
Two distributed themes work this way--effervescence+ and stopdesing. You should review them for an example of how to do this.