The technique I use for alphas installation: Make a "Alphas" folder somewhere on your computer. Preferably somewhere close to the desktop/root. Put your alphas there. In zbrush, under Alphas, Import your alpha from the folder you put it in.
ZMapper installation: ZMapper goes in the ZPlugs folder under ZStartup. In your ZBrush folder, under ZStarup, create a ZPlugs folder, so you would have C://folders/n/stuff/here/Pixologic/ZBrush2/ZStartup/Zplugs/ <-- put ZMapper files here. Make sure to keep the ZMapperData directory intact. Simply put it beneath ZStartup/ZPlugs just like you did with the ZMapper.zsc file.