I've just installed zenphoto 1.2.9 on a Windows server (with Apache 2.2.15, PHP 5.2.13, and MySQL 5.1.45). When I initially tried to use setup.php, a couple of warnings and some errors related to my MySQL configuration were displayed. Upon correcting the errors, setup.php gave produced only a blank page. No PHP errors were displayed or logged, although PHP should have been configured to do both.
One of the warnings had to do with Multi-Byte String (mbstring) extension, which was not installed (mbstring is not installed by default during PHP setup on Windows). I initially paid little attention to the warning, because 1) it was only a warning not an error, and 2) I didn't think that I was using a language that required multibyte strings.
When I repeated the zenphoto setup after changing my PHP configuration to include the mbstring extension, everything worked beautifully and I'm now very happily running zenphoto.
This information may help others who have encountered the "blank page" problem during setup.