So Im new to Zbrush and I have a few questions. First one is, if there are different objects in the scene how do I select one and delete it. Also when I save and come back in, it makes my previous model a brush and only lets me draw new ones. Finally how do I add a new object, so select objects and move them.
If you save your 3D models as document, Zbrush converts the Polygons into Pixols and saves only a 2.5D snapshot. You need to press “Save as” in the Tool palette in order to be able to edit your model at any time.
Please see here for more infos:
http://www.pixologic.com/docs/index.php/Document
http://www.pixologic.com/docs/index.php/Drawing_Your_Model_On_The_Canvas
Please see here for infos about SubTools (append)
http://www.pixologic.com/docs/index.php/Appending_Subtools
Please see here for more infos about the SubTool palette (select, delete etc…)
http://www.pixologic.com/docs/index.php/Tool:SubTool_Subpalette
I also recommend to watch the videos in the ZClassroom. 
http://www.pixologic.com/zclassroom/
Happy Zbrushing!