1. Admin -> admin tab -> change the name and save..;-)
2. Generally Zenphoto is filesystem based, so you can just copy the album to your computer via FTP. If you set descriptions, titles after uploading etc. all those data will be lost except if you have attached these info to the images as EXIF data before uploading.
Otherwise you could try the database backup function and import that backup on the local install. (test before doing importing things).