I'm creating an "album of albums", and using "web location" to direct to sub-album URLs on my web site.
Once you click on that sub-album, there's no way back to the master album without hitting the back button, which may take lot of clicks depending on how many photos you're browsing.
If you're linking to other albums, just include a "home" link on those sub-albums. Most skins provide for a simple, direct way of doing this.
To the visitor, this should end up looking just like an album with folders. You click a thumbnail at the top marked "Venice," and you see a collection of images from Venice. It doesn't open in a new window, but there's an up-arrow that takes you back to the top level, where you can choose another destination.