Hi @LeiLei thanks for reporting that issue, i dont think its something you are doing wrong but because i have not been able to test that part on OSX.
In the file browser you should select the Zbrush executable but it should already have navigated you to the pixologic folder which is has not so might i ask you to post the path or a screenshot with the path that shows if the filebrowser opens?
Also can you try navigating manually to the zbrush executable and show me the path that you get with that? This would help working out the issues you have.
here is how it looks on windows and should look similar on OSX just with a ZBrush.app as executable as far as i know.