at the beginning of the upgrade process i get this message:

"Your mySQL user must have Select, Insert, Update, and Delete rights.

Grants found:

GRANT USAGE ON . TO 'np4953_zenphoto'@'localhost' IDENTIFIED BY PASSWORD 'B6312AEA96BA02BE7CBA9DAB8D6FCC25119BA0F3'

GRANT SELECT, INSERT, UPDATE, DELETE, CREATE, DROP, REFERENCES, INDEX, ALTER, CREATE TEMPORARY TABLES, LOCK TABLES ON np4953_zenphoto.* TO 'np4953_zenphoto'@'localhost' WITH GRANT OPTION"

I have set all the needed rights, but the setup program still not saticfied, why?

Your database is fine. The message is a warning, so you can just ignore it and procede.