In order for an alpha to work in the ZStartup\Alphas folder it must be in 16-bit Grayscale PSD format. No other format will work, and must be loaded manually instead.
The maximum number of items in any of the Alpha, Texture or Material ZStartup folders should be 25. These all take memory, so the fewer you have the better. Use these folders for items that you use constantly.
All other materials, textures and alphas can go into the various Zfolders. That means for example the ZBrush 3.5 R3\ZAlphas folder. These items will automatically be previewed when you click the appropriate link in Light Box, and when double-clicked from there they will automatically load into the appropriate palette. This makes them almost as easily accessible as the ZStartup items, but without the memory overhead. You’ll get bigger previews, too!
What’s more, items in the Zfolders can be put into subfolders. For example you might have ZBrush 3.5 R3\ZTextures\Stone with a whole bunch of rock textures in it. When you use Light Box and select the Textures link you’ll see those folders. Double-clicking on a folder then previews the contents of that folder as thumbnails. This makes it easy to categorize your items in Light Box.
Running low on disk space for the drive where ZBrush is installed? No problem. Put your resources on another disk entirely and then create Windows shortcuts to those folders. Place the shortcuts into your Zfolders and you can then use Light Box to quickly jump to the contents of your data drive.