By the way, it seems that you both my be using the outdated version of the theme, please redownload it. There's a readme included now as well.
One thing I didn't mention there (which I will add) is to get a tab to automatically show up in the menu, make a new page in wordpress. Make it's page-slug the same as the folder you've installed ZenPhoto. For example, on my site I installed ZenPhoto into a directory (folder, whichever) named "photography" so I made a page titled Photography which has the page-slug "photography". This gives you the tab in the menu. THIS DOES REQUIRE MODREWRITE though. If you're not using it, you will need to manually add a link. Email me for that one.