I had this problem too. I think it was the Return URL that was the problem (Paypal.com, Profile, Website Payment Preferences, Return URL)

http://www.zen-cart.com/wiki/index.php/PayPal
12. Auto Return for Website Payments - set to on.
https://www.myz_domain.com/MY_SHOP/i...eckout_process (for sites with their own SSL Certificates)

I think I had something other than "checkout_process" but I don't remember what it was and forgot to mark it down before redoing it.

Note: When I was having the problem I only had Express Checkout Module Active. Now I have Express and Pro Modules active.
It's working now. Only Visa and MasterCard work in Pro. Customers will need to know that Express accepts Disc and AM.

Hope this helps you.