I have ZenPhoto uploaded to my site. I got to setup the program. I get a few warnings. Log security [is compromised], File/Folder Permissions [are loose (0777)], and The Zenphoto filesystem character define is ISO‑8859‑1 [no test performed]. I click "apply" (and even "go") the URL changes but nothing else does. Before I found the Config.php file I also had problems with my MySql connection. It just simply will NOT save ANY of my changes.

Probably your server does not allow Zenphoto to change the permissions. As noted you have to do that manually via FTP. MAybe contact your host what the right permissions for your server are (strict+ does not work on all, incl. mine).

Regarding the MySQL problem you will have to tell if setup complains about anything else and look into your server error log.