I set the "Full image protection" to "Download", everything worked fine except I cannot open it when finish download. It shows a red cross instead of showing the picture. Could anyone help?

@kf1980: I am sorry, I accidentally deleted your user account by a wrong click as our site was less responsive because of heavy traffic. Please re-register!

A red cross is mostly because of wrong permissions. Have a link to your site?

for some reasons, I cannot publish the album. Can I send the photo to you instead?

No and it won't help since it is related to your server/installation. You should look at your server's error log.

Most likely the problem you have is that the zip file you downloaded is corrupt. This may happen if there is not sufficient memory on your server to perform the archiving or may be the result of errors in the file transmission.