In 2D images the basic building block is a pixel (from ‘picture element’). Pixels contain information about their position on the 2D plane (their X and Y co-ordinates) and color (their Red, Green and Blue values). ZBrush takes this a step further by adding depth, orientation and material, making a smart pixel which is called a pixol.
Pixols only exist on the ZBrush canvas. When you save the Document by pressing the Document>Save As button, you will save the canvas and its pixols, so when you reload the ZBR file all the depth, orientation and material information will be retrieved. However, if you export the Document using the Document>Export button, the canvas will be flattened and only a standard image of pixels will be saved. You can export the canvas in this way to several popular image formats that can be read by other software.
You should also remember that saving the Document does not save any 3D models that you might be working on at the time. Any model that is in Edit mode will be converted to pixols for saving in the Document file, and so won’t be editable when you reload the Document. For safety’s sake be sure to save the ZBrush Project by pressing File>Save As. This will save your whole ZBrush session, including any 3D models you are working on.