At the moment I'm setting up a ZenPhoto in a Windows Server 2003 (IIS6) and I was having problems with the setlocale. After few workarounds I found an easy solution for that, the only thing you have to do is to add a null as a last value of the function:
file: zp-core/functions-i18n.php
line: 245
updated line: `$result = setlocale(LC_ALL, $locale.'.'.$encoding, $locale, null);`
I hope you enjoy the fix.
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http://www.zenphoto.org/trac/ticket/1414