I installed zenphoto and wordpress in my server. I also installed zenpress to insert images in my wordpress post. But I found that I don't have the option to link to the image directly. The "link to image" option only links to the image page of zenphoto, not the real image. So I just make a little change:
Change the line 60 of functions.js(zenpress's file):
from
path = webPath+"/"+albumUrl+"/"+imageUrl
to
path = webPath+"/albums/"+albumUrl+"/"+imageUrl
It will link to the real image, then you can use lightbox, slimbox or thickbox to have some special effect when people click on the image.
Hope this help.