I think I have the same problem. When I chmod 777 those folders (as asked) I then get a message saying:
`Setup could not change the folder permissions from loose (0777) to strict (0755). You will have to set the permissions manually. See the Troubleshooting guide for details on Zenphoto permissions requirements.`
Then, when I go to 0755, I'm back at square one, getting the same message that I have to chmod 777 again.
I think this is stupid anyway. A PHP-script shouldn't be messing with file permissions in the first place.