Nope, you need to go to the Pixelogic/Zbrush/ZStartUp folder. The brush .ZBP goes into the brush presets folder, and the alpha goes into the alphas folder. Should be availaible to you on startup after that.
I'm pretty sure you just have to go into the Program Files and drop them in the Alphas folder, which should be in ZData folder, if I remember correctly.