I was able to install it fine, but there are no thumbnails. They don't seem to be created in the album folder. The original image is copied over but the thumbnails are left in the cache folder. Any ideas?

Nothing should be "copied over" (thumbnails and sized images are saved in the cache folder; your album folders are left untouched) so it seems to be a problem with either your PHP/GD support or your paths.

Can we get more information, like what you mean by "there are no thumbnails" exactly?

When I go to the site to view my pictures is see no thumbnails or pictures. There is just text which is a link that links directly to the image file.

Where the thumbnail should be if I look at where it is looking for the image it is looking to vacation-2005/image/thumb/PDR_1708.jpg inside of where I installed zenphoto.

I was looking at a post by someone who had a similar problem and you said something about the thumbnails being created on the fly by i.php so I went to that file (http://www.tuds89.worldfreeweb.com/zenphoto/zen/i.php?a=vacation-2005&i=PDR_1708.jpg&s=thumb)
and what I got was: ÿØÿà
I don't know if that helps.

It's the ads, my friend. Your host is putting ads in the content output by the image script, and obviously, that messes up the image.

Maybe there's some way to shut those off for a page?