Poser sends single items. To use a figure and clothing in ZBrush you will need to send each item individually.

In Poser load the figure and clothing.

Select the figure and send it to Zbrush, the figure is added to the ZBrush Document.

Return to Poser.

Select the Clothing item and send it to Zbrush.

You will need to send multiple clothing items individually so return to Poser and send to Goz for each item.

Once all the clothing is added to Zbrush you will see the figure and clothing on the Tool pane.

Click on the Figure and open the SubTool pane.

At the bottom of the SubTool pane click on Append.

Click on the clothing item in the Quick Pick window, it will be added as SubTool.

Work on the items in ZBrush.

When you want to send back to poser select the subtool item that you have changed and press the Goz button in the Tool pane.

ZBrush will only send the SubTool that is selected back to Poser.

More in-depth information on using Goz with Poser can be found in chapter 39 of the Poser Reference Manual (Page 970) you can open the manual from the Poser Menu Tool Bar - Help- Poser Reference Manual (that was just a helpful hint and not trying to be mean)