ZBrush supports OBJ,DXF, and STL along with a couple others. I don't have ZBrush but you could try and imput a stl file created from your Solidworks part / assembly. You may have better luck asking this question on a Zbrush Forum too.
What are you trying to use SolidWorks and Z-brush for respectively?
If you're trying to add cosmetic features to a SolidWorks model for v-casting or 3D printing, then you're probably to export from SolidWorks to STL or VRML.
despite the fact that STL's are triangulated nightmares, I recommend exporting to them because the meshes do import with names and you can control the resolution and level of detail from SolidWorks at the time of export. That's particularly important if you're working with a wide range of scales and object sizes. VRML is kind of viewport dependent, so you can get crappy results if you create the file when you're zoomed out.
If you're lucky, you can find a plug-in for Z-brush capable of converting NuRBS geometry to meshes while preserving mapping coordinates.
Once inside of Z-brush, be prepared to let cozy with retopo, otherwise you won't get a material to map or smooth correctly on the imported model.
Retopo usually follows the sculpting process, but since dynamic sculpting works better on evenly sized quads than the wide assortment of triangle geometries you'll get out of STL, you might want to go through and correct your models at the beginning of the process-at least in the areas you're going to be sculpting.
If you're intent is to go the other-way-to import a Z-brush concept model into SolidWorks for detail design, then you should look into using the SolidWorks ScanTo3D plug-in that comes with SolidWorks premium. This will allow you to identify your NURBS curves from your geometry and create surfaces from them for molding and machining.
Hope that get's you started.
The surfaces you get from ZBrush will not typically be machinable, especially for cutting steel for tooling (injection molds). Therefore, if your end result will be an injection molded part, you would need to convert the ZBrush model to nurbs, which can be a time consuming and expensive process.
I don't have Scanto3D with my SolidWorks license. Its probably worth looking at for comparison to other products.
PowerSurfacing npowersoftware.com, which is a plugin for SolidWorks, may give you the kind of control you want in surfacing without dealing with the headache of going through many application to come back to something you can use again in SolidWorks. Its definitely worth a look as well.