When I try to put the sql details in it gives me

Access denied for user 'jmc92'@'localhost' (using password: YES)

How do I fix this?
I know I am doing it right,
because I have installed other galleries and cms on my site with ease
Can I install it manually and bypass the setup page?

Talk to your provider. Access denied is coming from MySQL, not Zenphoto.

You are welcome to bypass setup, but it will hardly help if you cannot get the database connection. Zenphoto will not run unless it is allowed to access the database.