Double clicking on a .ztl or .zpr file in windows explorer and having that launch zbrush and load the file has worked since version 4 or maybe 4r2 for me, hell maybe even before that. =P
Here is a video showing it working
http://screencast.com/t/MQ7ZPtSnCK
To help solve your reinstall issue of clicking on a file and nothing happening. You need to tell your registry to re-point to the correct zbrush.exe. I have had to do this many times after installing new versions.
in windows. Start > Run > regedit.exe
then under- Computer > HKEY_CLASSES_ROOT > Applications > Zbrush > Shell > open > command > Data > change the default data path to point to your new correct zbrush.exe location
here is a screen shot of an edited registry to point to zbrush r3 for my system
http://screencast.com/t/P18hYIoibRn
If double clicking on a .ZTL or .ZPR does not work for you, then the above issue is probably why. Your windows registry probably has your zbrush.exe pointed to an old/out of date location and so the file association is incorrect.