Hi,
is it to be provided possible pictures in ZenPhoto with external left?
does it possibly give a Plugin for it?

Please try to explain. It's not clear what you mean.

I want to provide pictures with a link to e.g. a remote website so that clicking the picture you enter the relative link.

So you want to link images managed by Zenphoto to an external site? I really don't understand why you want to do that as that is really confusing to visitors and feels a bit shady.

But you can do that but you have to modfiy your theme. Use a field like the custom data or locataion field, enter the url there and use in on the theme.

Basics of theming you find here: http://www.zenphoto.org/news/theming-tutorial