Zenphoto actually uses TinyMCE for the album and image descriptions by default that enters a for line break. Of course I assume you are talking about the backend.
Do you see the text editor's buttons as shown here?: http://www.zenphoto.org/zp/screenshots/zenphoto-admin/edit-images-data.jpg.php
That editor should add a if you hit enter. It does for me. What browser are you using?