You can see an example on the Zenpage theme's image.php on how to include the script coming with Zenphoto. The general setup for a colorbox with all options is described on http://colorpowered.com/colorbox/
You also should read the theming tutorial first to understand the basics of Zenphoto themes first. We don't have a direct tutorial for Colorbox as it is not that different from other box scripts which are explaind a lot of times on the forum.
I don't undestand what you mean with "tried to combine two image.php file". A theme can only have one of course.
And no not the whole theme must support it. You have to call it on the page you want to use it. If you want to skip the image.php file showing the bigger sized images you have to add the colorbox to album.php. But then you will only be able to call the full image or you modify the theme to open the image.php file in a colorbox. That should be possible as well.
Anyway, special wishes require changing the theme. If you don't know how to do that you probably should get someone who does or take some time to learn Sorry, not everything does work "out of the box".