when I click on a protected album thumbnail it opens that image when I double click it again I get the following 'This image could not be loaded' If I do the same to an unprotected album the image open up normally. I am using Zenphoto version 1.4.2.4 [10045] (Official Build)

That message comes from the colorbox javascript. Most likely you have not told colorbox that the image is a "photo" so it does not know how to load it.

How do I tell colorbox that the image is a "photo"

You have to change the js / jquery define of it on your theme:
http://www.jacklmoore.com/colorbox (see setting > content type -> photo)

Sorry if I seem a bit thick but I am not a programmer and am struggling with this. and on top of this I am now getting the following when I try and open the full size image..

Duplicate headers received from the server
The response from the server contained duplicate headers. This problem is generally the result of a misconfigured website or proxy. Only the website or proxy administrator can fix this issue.
Error 346 (net::ERR_RESPONSE_HEADERS_MULTIPLE_CONTENT_LENGTH): Multiple distinct Content-Length headers received. This is disallowed to protect against HTTP response-splitting attacks.

Sorry should have said I have upgraded to Zenphoto version 1.4.3 [10393] (Official build)

Update - the original message has returned This image could not be loaded...

If you changed a standard theme, then the upgrade would have replaced that change with whatever is standard for that theme. If you have not made the change then of course things have not changed with the new release.

As to the error you report: This is not something I am at all familiar with. I do not see how this would be caused by Zenphoto, though.

The 'This image could not be loaded' message seems to be limited to Google Chrome. Have just tried IE 9 and it works ok. Any ideas?

Be sure you have the most current Chrome update. A quick search on this error indicates that there may have been a bug in Chrome.