No ... we get it. It's just ... Not really. I mean, you can't really do it out of the box.
Regardless of if you're using subdomains (sub1.domain.com and sub2.domain.com etc) or multiple top level domains (domain1.com domain2.com etc), the whole kit and kaboodle runs from your master domain's public_html folder (or whatever).
So if you make a folder /zenphoto then it will be accessible by ALL blogs.
The only way around it I can think of is if you setup .htaccess to redirect any requests for the folder that if they DON'T come from a specific domain/subdomain, they get rerouted to a sorry page.
(also please don't bump - many of us troll the 'no replies' page to help the stranded. Bumping takes you OFF that list.)