ZAppLink is used with the projection master which is located on the upper left side of zbrush UI
you use a 3d object and then press the projection master, this will drop the model on the canvas as 2d
now use the ZAppLink, this will open up photoshop
once your done in photoshop chose SAVE or save as, dont change the name
now once you bring zbrush back up the picture will update it self, NOW press the projection master
and your new update pic will be placed on your model as texture