I 'm a new user thanks! 
Zbrush doesn’t save the last used directory between different sessions. The best you can do is put all your files in the appropriate directories, navigate each time to the required directory or create one-click shortcuts to the directories you want.
There was a thread about this, but I can’t seem to find it.
one of the things you could do is come up with a zbr file that has material, lights etc… and use that everytime you wish to come up with a image…version 1.51 also lets you save your lighting presents, and most people use the either zlist or material scripts to save there tools or materials…hope this helps…i understand that the next version upgrade will have a default script to die for…
If there is a folder that you like to save extra files in, you can place a shortcut to that folder within the appropriate ZBrush folder.
For example, if you have a texture set that you use among several applications, you can make a shortcut to that folder and place it in your ZExportImport folder. Those textures will then only be a click away.