I got everything working fine to the point of seeing login box. I login and after submit all I see is a blank page.
I tried to debug it and got down to the auth_zp file. There I found that script recognizes login and password correctly, then it should do this:
setcookie("zenphoto_auth", sha1($user.$pass), time()+5184000, WEBPATH);
header("Location: " . "http://" . $_SERVER['HTTP_HOST'] . WEBPATH . $redirect);
I don't know what is happening there, but from what I can see in firefox no zenphoto_auth cookie is set.
I got redirected to an empy page with url http://www.owczarek.com.pl/zenphoto/zen/setup.php#
I have wordpress on the same server and it is working fine.