This article explains exactly how to do it
http://tutorials.zen-cart.com/index.php?article=224
The image you upload via admin will be used as the thumbnail, so create an image with the same dimensions that you have defined for thumbnails in admin and use admin to upload it, then create medium and large images of the same photo and upload them using FTP, you can create sub folders for these e.g. images/med & images/large. So the result is that you have three different images e.g. image.jpg, image_MED.jpg & image_LRG.jpg. Zen will know they all belong to the same product because the all start with the same text, in this case "image". It's a very straight forward process.