hi man, 
the lightbox is a kind of repository of ‘things’ that come with the installation of ZB: you can load extra brushes, alphas, tools (as you’ve mentioned) . you’ll also find the quicksave files here that’re saved automatically and can be useful to recover work.
the whole tool/subtool thing is confusing - one thing that makes it so is that an entire ‘scene’ is referred to by whatever element you have selected at that time. To see this, go to lightbox and open up the big guy in the project tab (koteinlk eart or something) then open the subtool section of the tool menu and, as Doug says, you’ll see all the various parts (subtools) that make him up. clicking on any subtool in the list selects that item.
If you then go to the big square in the tool menu where that item is now shown, click on it and select say, a cube - a cube will now appear in the view; you’ve effectively opened a new ‘scene’ with that cube in it (you may have to ‘make polymesh3D’ to be able to do anything to it). if you go to ‘append’ you’ll see the object you selected in the big guy scene as one one the items you can choose, if you wanted to append another part of that big guy scene, you’ll need to go back to that scene (or ‘tool’ strictly speaking) then go back to your cube and append. Throws a lot of people off and often explains why you can’t see the items you’re working on listed anywhere. Once you’ve tried it a few times you’ll get it.
if you save a ‘project’ you’ll save everything as it is - the cube, the big guy, lighting setup… everything. if you save the tool, you’ll save just what you can see in the viewport and anything in the subtool list at that time but nothing else. either way is acceptable providing you understand what you’re doing. Don’t save a document as you’ll just get a picture of the viewport =\ unless that’s what you want of course 
I’d still recommend not thinking too much about the actual item you’re making. Just practice moving around, adding a few bits together, trying out the brushes and alphas and whatever else you come across. If you mess the object up it’s no big deal. Accept that your first attempts will be rubbish :] ditch 'em and move on…