I don't think this is actually a bug, but:

some of the links appear ok in the page source, for example:
http://localhost/zenphoto/index.php?album=habitats-prives/projet-006

when clicked, the URL looks like this:
http://localhost/zenphoto/index.php?album=habitats-prives%2Fprojet-006
so "/" is replaced by %2F

I'm not using mod_rewrite. How can this be fixed?

Unfortunately the '/' character is being encoded by your browser. That's automatic for any URL strings after the ? part (the query string) and can't really be fixed. Sorry about that.

mod_rewrite is exactly for that purpose; otherwise you'll have to deal with the ugly-looking URLs.