If you are having a problem with the WorldPay callback with Zen Cart version 1.39 then the problem might be with the default Payment Response URL <wpdisplay item="MC_callback"> entry in the Integration Setup at WorldPay.

I have found that the following resolution works for my customer sites:

Add http:// or https:// in front of the Payment Response URL
i.e. http://<wpdisplay item="MC_callback">
OR https://<wpdisplay item="MC_callback"> if you have SSL activated