When I view my album, the thumbnails show up. When I try to view the full size image, there is no image delivered. Click on the frame and the image will be retreived.

example: http://www.cmsfca.org/photos/index.php?album=football-practice-8-13

First you are tryingto view the "sized image", the "full size image" is the image you uploaded. And this images are surely to big with around 1.5 MB: http://www.zenphoto.org/2008/08/troubleshooting-zenphoto/#11
Please try some smaller images. (But actually I wonder why the thumbnail generation does work...)

My Full-size images do not show up, unless I turn off protection.
I do want the water-mark on them. Yes they are large up to 2.5 MB,
But it does not work with my old smaller ones (700K) either.
Small one http://www.hallocks.us/zenphoto/1997/7BUD1912.jpg.php?p=*full-image
Large one http://www.hallocks.us/zenphoto/2009/2009-05-16%20Pathfinder%20Fair%20Sabbath/2009_05_16_12_20_56.JPG.php?p=*full-image

If you want the watermark they would need to be processed by the server to add that just like thumbnails etc. Please read the post I linked to above.