Hello Lasha,
First, you should upgrade to zenphoto 1.0.8.2, the latest stable version of zenphoto. If you don't really which version you're currently running, just login to the admin interface, the version of zenphoto is displayed in the bottom right of this interface.
Then, you're right. The .htaccess file is in the main directory of zenphoto (in the same directory which contains the zen directory). But this file is hidden (it starts whith a ".") so your FTP software shouldn't see it by default. There is always an option in these software to eneable displaying hidden files.
Never mind, it turns out that my Mac wasn't showing hidden files, just when I transfered over the zenphoto folder onto my server, it didn't move the .htaccess file either. I downloaded Cocktail (Mac utility application), enabled viewing hidden files, then transfered it over. Very nice.