How can I migrate albums from gallery 2 to zenphoto?

Or you could just copy images within folder to the root albums folder of your Zenphoto install. Zenphoto will recognize the folders as albums then. But if you didn't store titles or descriptions in the images' metadata they will not be imported.

For this there is only this third party importer: http://www.zenphoto.org/2009/11/import-menalto-gallery-2-image-descriptions/
You will have to try that yourself.