What exactly do you want to do? If you want your album to look like the rest of your WEB pages you need to create a theme that mimics your pages. Depending on how far you want to deviate form the supplied zen themes, that is not too hard to do. Maybe as simple as modifying the CSS file of the theme.
Please take a look here (zenphoto as a plugin): http://www.zenphoto.org/2008/01/hacks/