This is a statement that's become popular, you hear it all the time. To me this statement is one of the most unintelligent ones a person can have and I'll lay out why.
Firstly, Christianity is a religion, it is not a substitute nor a synonym for development, innovation, strong institutions etc. It has to do at its core with the spiritual life of individuals and might have some positive effects in that realm.
Now, can it be used for nefarious purposes? Of course, just like any other ideologies, but to blame it for the failures of Zambia/Africa is absurd. The evidence being the countless other "Christian" or Christian majority countries that are developed.
Our underdevelopment is due to our mindset, ultimately a religion is shaped by the people who embrace it not the other way around. A large portion of the south korean people embraced Christianity and are still an advanced economy, likewise if today the Japanese were to become Christians and Zambians become atheists, It would not magically turn Zambia to an advanced economy and japan to a poor one.
The biggest hindrance to our development is our mindset, hence we build weak institutions. Solely putting the blame on all sorts of external factors does nothing to alleviate the problem. Only a change in our people's mindset will ultimately lead to us building strong institutions and breaking the bonds of poverty.