But I'm having trouble understanding what I am supposed to upload onto my webs browser. Do I upload everything that I downloaded? (all photos, documents, php page etc). Also, I can't find the setup.php document :/ which folder would it be in?

The full instructions are here: http://www.zenphoto.org/2008/08/installation-and-upgrading/

Basicly you upload everything in the package then visit your site.