Thanks for the reply, aitf311 (hehe, I always feel as if I were playing "Spies and Counterspies" in forums, talking to others using agent codenames) :)
Actually, I've already downloaded the Thinkdreams theme from the link you provided (as well as other amazing themes). You can find the my test gallery using that theme here: http://www.magiczonepr.net/zenphoto/ .
From what you've told me here, then the Readme.txt that comes with the theme is outdated, still reflecting the information in this old thread.
Still, I'm guilty of coming to the forum and posting a question without doing some serious digging of my particular problem first. I just panicked and started looking for answers to The Problem(TM)... instead of reading carefully the error page. My bad.
When the "Slideshow" link appear on the gallery, it is pointing to a non-existing folder: http://www.magiczonepr.net/zenphoto/mastercollector/slideshow. "mastercollector/slideshow" does NOT exist, and there are no instructions (that I could find) telling me to create such folders etc. No wonder I'm getting this message: "Zenphoto Error: the requested object was not found. Please go back and try again."
However, I did find a script called "slideshow.js" on the /js subdir of the Thinkdreams, which is, obviously, what the link is supposed to use. After a little Googling I found out that the slideshow is the one at Scott Upton's page here: http://www.couloir.org/js_slideshow/ .
All I have to do now is figure out how to integrate Upton's slideshow properly with the gallery. Maybe easier said than done (I won't know until I try), but its either that or comment out the "View: Normal - Slideshow" links in the .PHP file...