My WP version is 2.0 (duke) and ive got the Zenphoto beta version
Initially i had a seperate DB for Zenphoto, but that left me with loads of errors, so i made Zenphoto share the DB of wordpress and they worked in perfect harmony! you have to change the DB name from config.php inside the folder "Zen"..
I also had problem with my header while integrating the Zenphoto and WP. Make sure you put the <?php get_header ?> inside the DIV container of the "main" tag which resides inside the themes->yourtheme->index.php
Im still have a small glitch with the header..as the photo is squezed a bit..ill edit this post as soon as i got a perfect solution
hope this solves most of the questions on WP + ZenPhoto Integration..