Sure, you would have to modify the theme used to use a so called full image link to open directly. More info on theming here: http://www.zenphoto.org/news/theming-tutorial
Since .c4d files are no web format that Zenphoto respectively any server can displays you need to tell Zenphoto to at least "list" it. You can do that by using the anyFile plugin and adding the suffix to the supported file types.
To get Zenphoto to show at least a thumb in the album view you would have to follow the "video thumb" instructions here:
http://www.zenphoto.org/news/problems-with-albums-and-images#thumbnails-for-videos-or-other-non-standard-image-