If I'm not logged into Zenphoto and want to log in with my admin account, where is the lo in link? It appears right off the main Zenphoto default page there is no login link anywhere, right?

There can be a link if you enable the user login/out plugin.
But you can just use the standard link to the admin tabs:

domain/folder/admin if you have mod_rewrite set
domain/folder/zp-core/admin.php if you do not.

I enabled the login/logout plugin but it didn't put the login/logout box on the main page. Right now i'm just using the domain/folder/admin way right now.

Did you look at the documentation for the plugin?

Anyway, since you have not said what theme you are using I can only tell you that if you want a form you have to set the plugin options to do that. Of corse if you them does not provide support for the plugin you have more work to do.