I'm also having problems with the installation. This may be due to my hosting provider but I haven't figured out what I may be missing.
As far as the instructinos go, to install ZP as I understood you should go to your site with the directory for zenphoto and run the setup.php. Mine is /zen/setup.php. When your done with that you can login to /zen/admin.php to start uploading photos and start testing stuff out.
Here are the primary installation instructions (copy and pasted):
Step 1: Edit the config.php.example file and rename it to config.php. You can find the file in the "zen" directory.
Step 2: Edit the .htaccess file in the root zenphoto folder if you have the mod_rewrite apache module, and want cruft-free URLs. Just change the one line indicated to make it work.
Step 3: Change the permissions on the 'albums' and 'cache' folders to be writable by the server (chmod 777 cache) (not necessary on Windows servers)
Step 4: Come back to this page (just reload it if you're ready) and click "Go!"
I'd appreciate it if someone could personally take a look at what I'm doing or maybe a checklist to figure out what I'm missing (mod-rewrite, gd or whatever).
Thanks.