have you tested your implementation outside of the blog software to ensure your gallery is setup correctly? Sometimes zenphoto is a lot easier to troubleshoot when not "integrated" into a blogging application.
NM, I'm retarded. Figured it out. I copies the index.php over the album.php and image.php when clearly they are their own files. Now I just need to mess with the customization so everything fits.
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http://www.ruzee.com/blog/2006/06/integrating-zenphoto-into-wordpress/
When you go to the photo site via http://lesleyandjonathan.com/blog/zenphoto/index.php, it looks much much better! How can I correct this?