If you mean managing images on a different server than Zenphoto that is not possible. You could try to use symlinks maybe. I think on the forum that was discussed somewhere.
If you mean how to transfer the site or the images to another server:
http://www.zenphoto.org/news/how-to-move-my-installation-to-a-new-server-
http://www.zenphoto.org/news/how-to-move-my-installation-on-the-same-server-