Hi Simbul. Yep, the ZP data path where the word "example" is, is our webserver account username. So just to confirm both the Zenphoto gallery URL and Zenphoto data path should be those of Zenphoto, and NOT Zenphotopress. ZP was installed in the WP folder, which in my case is, the "v1" folder.
The index page that shows in the popup box is the actual homepage of the website. And, there is no "select albums". There was a time before I changed folder permissions via FTP that the popup would show an empty window with just the "select albums" dropdown. But after I changed permissions, the window would show our website home page.
I'll try re-installing everything with the latest files and see if those work. I'll post here again if I continue experiencing problems. Thanks again, Simbul!