It is rather easy to do so, you can edit includes/templates/your_template/tpl_modules_main_product_image.php

Around line 15 you will find

PHP Code:
document.write('<a href="<?= $products_image_large;?>" id="jqzoomMain"<?php if (JQLIGHTBOX_STATUS == 'true') echo ' class="jqlightbox"';?>><?= zen_image($products_image_medium, addslashes($products_name), MEDIUM_IMAGE_WIDTH, MEDIUM_IMAGE_HEIGHT);?></a>');
Replace by

PHP Code:
document.write('<a href="<?php echo $products_image_large;?>" id="jqzoomMain"<?php if (JQLIGHTBOX_STATUS == 'true') echo ' class="jqlightbox"';?>><?php echo zen_image($products_image_medium, addslashes($products_name), MEDIUM_IMAGE_WIDTH, MEDIUM_IMAGE_HEIGHT);?><br /><span class="imgLink"><?php echo TEXT_CLICK_TO_ENLARGE;?></span></a>');
As for the request to prevent downloading image, it is technically impossible. So your best option is to watermark your images.