After installation Zenphoto I run setup.php and installation running again...
Shoud I delete this file for prevent hacking?

No, you should not be deleting anything. If setup is running again then something has either changed or gone wrong with your installation.

Setup runs when: 1. the release level of zenphoto changes. 2. the zp-config.php file is missing.

Setup is not selfrunning. Only when I type after installation http://xxx.xx./zp-core/setup.php.

ок, got it. There is password protected option. Nobody run this!

Well, I really do not understand what you are saying in this thread. Seems you were saying that setup would run again after the setup, but then you say it runs only when you run it.

Well, if you have it working that is great.