Is there a way to print the filename under each image in the albums?

I did not see any reference to it in the plugins.

If there is a piece of code to be inserted, please let me know which file. I do not code at all.

Thanks in advance

Of course it is possible but you will have to modify the theme used. Where and how exactly depends on the theme and it might require CSS changes for the layout. You find general info about theming here: http://www.zenphoto.org/news/theming-tutorial