When I first started using the Zend Framework I found it very difficult to locate detailed information on how to actually install and configure everything. So I created a tutorial about all of this that includes a 37 minute screencast, 13 pages of written information, and the source code for an example application. From what I understand, it's been very helpful to a lot of people. Here is a link to the tutorial on
Installing And Configuring the Zend Framework.