Your first issue is that the theme you are using appears to be fairly old an is not updated to be compatible with the current release of Zenphoto. I cannot even remember when we had an Sajax.php script. Current Zenphoto uses jQuery for its javascript support.
For the second issue I am just guessing. Probably you removed the setup files after installing (as suggested) so references to setup will cause the 404 errors. As for why your site tries to reference setup. Probably something to do with the site configuration. For some reason Zenphoto thinks it needs to re-run the install script. This happens when it detects some change in the install that would require running setup.
Generally, you can move your zenphoto installation wherever. You just need to run setup after it is in place to straighten out anything required from the move.
