Hi,
I did two zen installations - on the first server it went flawlessly, on the second I had the following problem.
I reached setup.php screen with the 'GO' link (successfully connected to the database, ready to create tables). The 'GO' url ended with '?create'. However, clicking it would not move process forward - the same page with 'GO' link would be reloaded and no tables created. I presume this condition:
isset($_GET['create'])
in setup.php failed for some reason.
I changed the ending of the url into '?create=x' and it solved the problem.