I installed ZenPhoto for a customer under mydomain.com -- after a good bit of work, they want to switch to mynewdomain.com.

I've pointed mynewdomain.com to run on the same directory as mydomain.com, but I'm getting the error "setup scripts missing".

The server move instructions say to install a clean copy of ZenPhoto then export/import the database and move files. I don't need to move files, just change the URL.

If I install the setup scripts, and run setup.php, will the setup process wipe my work, or will it allow me to make the URL change?

If you are on the same server/webspace and the actual location did not change pointing the new domain to it should be all that is needed.

Setup will not wipe any information but of course a regular database backup is always a good idea.