OK, so here's a funny quirk... I had similar troubles getting WP in my ZEN cart. I have WP in a seperate directory than ZEN - like this

root/blog/ - here is my wp
root/store/ here is my zen

so i do the install and follow all the instructions and get an error

Warning: Cannot modify header information - headers already sent by (output started at /home/content/DOMAIN/html/store/includes/templates/template_default/common/html_header.php:22) in /home/content/DOMAIN/html/blog/wp-includes/pluggable.php on line 850...

seems that if i do the url like this it works with out the error...
Domain.com/store/? -- yes, just a plain question mark after the url... totally weird.

but like this and I get an error:
domain.com/store/index.php?main_page=wordpress

food for thought.. i will mess with it, but if there are suggestions I will take them.