ZenPhoto version 1.4.1.6 was installed accessing my website as aaa.com. Another domain name is defined to my website host as bbb.com; it points to the same directory/folder tree as aaa.com (e.g., they both see the same index.php file, which points to the zenphoto installation in a subdirectory).
When I browse to aaa.com, zenphoto works fine. When I browse to bbb.com, I get the "setup scripts missing" error.
I would appreciate any suggestions as to how to make access through both domains work.
(I didn't find a similar situation in searching the forum.)

You need to appoint one domain as the main domain using .htaccess redirects to that one domain for all others you have. Zenphoto thinks this are two different installs.

Doing this is also recommended practice for SEO (try a web search on "duplicated content" and you will find that, too).

The reason for this problem is that the "roots" for all your paths are different when accessed from different domains so things like the rewrite rules cannot work in both cases.