I want to install this program on my website but I'm not really sure how to do it. Do I need to set up an SQL database?

You find all info here: https://www.zenphoto.org/news/installation-and-upgrading/

Thanks for the link

I was also searching for this link. It should be positioned at a more visible place on zenphoto website (1st page).

It's right below the two big download buttons…