I have this same issue, though i had ignored it as it was only a warning
"Warning!
Locale functionality is not implemented on your platform or the specified locale does not exist. Language translation may not work.
See the troubleshooting guide on zenphoto.org for details."
I AM the service provider in this case as I'm trying to run zenphoto on a local windows dev box, php 5.3.1, apache 2.2, mysql
setlocal() appears to be built into PHP without requiring additional modules, though I have php_intl installed as well just in case (i've tried "en.UTF-8", "en_utf8" and later "en_us_utf8" set as default locale in php.ini)