Do I need to set up a second database when cloning a zenphoto gallery?
Thanks!

No, but you need to define one for the cloned install. A clone install is independent and just shares the core files with the base install. So it needs a database, that it can share the same with using a different database prefix or use new one. That is up to you actually.

I keep updating the second gallery with the files it ask for, then the first gallery ask for the same files so update them and I just keep going in a loop. Not sure what is happening. Here is the error I get on the second gallery:
Zenphoto has detected a change in your installation.

The script functions-image.php has changed.
Your installation has moved from /home/mediade1/public_html/art to /home/mediade1/public_html/frames.
Please reinstall the following setup files from the 1.4.3 [10393] release:

zp-core/setup.php
zp-core/setup/setup-functions.php
zp-core/setup/setup-option-defaults.php
zp-core/setup/setup-primitive.php
zp-core/setup/setup-sqlform.php
zp-core/setup/setup.css
zp-core/setup/setup_permissions_changer.php
zp-core/setup/setup_set-mod_rewrite.php
zp-core/setup/setup_themeOptions.php
The change detected is critical. You must run setup for your site to function.

The core files do exist only once, in the base install. To clone an install create a folder and let the clone tool on the base install clone the files there. Then access the clone install as if it was a normal one <path to clone>/zp-core/setup.php and run setup.

You should not have to update the cloned install with any files (except albums or custom themes or plugins).

That message is not an error and has been widely covered on the forum and on the install page.