I don't think you have to do anything in Zenfolio, it's what you set up your domain to point o.
That will bring you to my Zenfolio. I could have it point to any page.
EDIT: I just looked at my Zenfolio account, there are options under settings, including
If you have your own domain name registered, you can configure it to become the address to all your pages.
This feature is not available with your subscription level, please consider Upgrading.
* Use Zenfolio domain name for your Zenfolio pages
o Point a custom domain name to your Zenfolio pages Instructions"
Note, as far as Zenfolio is concerned, I am using the default .zenfolio.com account. But my domain site is configured such that once you click my domain name and get to my Zenfolio page, the address will remain "www.jakehegnauer.com" no matter what links of the website you click. Again, none of this is set up on Zenfolio. It was done with my domain hosting.