This message appears only in two cases:
You upgraded and the scripts are missing because you should delete theme after inital installing. In this case you need to reupload them.
You have been hacked. See the news section and the lenghtly recent topics about that.
In the zp-core folder there is a folder called setup and a file called setup.php.
You need to copy the folder setup and the file setup.php to your own zp-core folder.
See http://www.zenphoto.org/news/installation-and-upgrading#re-running-and-re-uploading-setup-files