Fill the tool with a matcap then press ‘new from poly paint’. If the material has been edited and only the tool saved, when you re open the tool in zbrush it will be black. Use save material or Save file for this.
The easiest way for all your maps is the ‘GOZ’ button. press that and when 3d max opens, open the ‘material editor’,click on the eye dropper next to the material name and click on the model in the view port. This will open the new shader in the material editer.
This youtube video by Screenwritter805 explains it very well. He also has one on the Multi-map exporter plug in for Zbrush. Enjoy.
Using goz wjth 3ds max
http://www.youtube.com/watch?v=XrkQKW48NrE&feature=channel
Multi map exporter
http://www.youtube.com/watch?v=CHAfcIihcDU&feature=channel
Plug ins
http://www.pixologic.com/zbrush/downloadcenter/zplugins/