After you load a brush, material, texture or alpha (via spotlight or in one of the “load” buttons) save them in the Zstartup directory in the appropriate subfolder. My Zstartup directory is here:
C:\Program Files (x86)\Pixologic\ZBrush 4.0\ZStartup\
Inside that directory, you will see other directories labeled like this:
BrushPresets <== Save brushes here for load @ startup
Materials <== Save materials here for load @ startup
Alphas <== Save alphas here for load @ startup
Textures <== Save textures here for load @ startup
If you download brushes, matcaps, materials, or alphas, you can just save them in the appropriate directory in windows and restart zbrush. They should load right away. Whenever manipulating your Zstartup directory, you should save backups of your previous versions in case anything gets corrupted. Hope this helps.