Could you please look here if anything there helps (even if that thread is about 1.1.5)?: http://www.zenphoto.org/support/topic.php?id=2726&replies=10#post-16290
I don't think it is a username-password thing. When I run the Setup, I get a message that the Setup is complete and all great. I can access the Administrator pages. What does not work is the public Gallery itself. Whenever I try to call up the gallery, index.php redirects to setup.php.
The only reasons zenphoto would go to setup is if the release number as defined in functions.php does not match the release value in the options table or the zp-config.php file is missing.
What version of zenphoto are you installing? The current versions all put the version/release information at the bottom. Yours does not have that.