I had the same questions for a while - I just couldn't get my head around it. It's really fairly simple to include an entire zenphoto gallery on almost any website. The key to the whole thing, I think, is to examine the index.php, album.php and image.php files in the top folder of the ZP theme you want to use.
As generously explained on this forum, you can then change the code in the CSS file that is part of your theme - to make the ZP elements in those files look exactly like the rest of your site. If you are comfortable with CSS, it's not really very difficult. If you are not experienced in CSS, it might seem impossible.