Well, first, if you got this message then you did not install the zenphoto package as distributed since that would have included at least some themes.
Second, if as you say, the `theme` folder is not in the /zenphoto folder then it is not properly placed so Zenphoto will naturally not find it.
Sounds like you should try again with the installation. This time pay attention to what setup tells you. It would have reported the missing standard themes which might have been a clue.