ZBrush and the Maxon App both require that your computer has a C drive. This is for several reasons, including the fact that GoZ uses the C:\Users\Public\Pixologic folder (or its equivalent path name, depending on OS version). Without a C drive, GoZ would not be able to function.
If your computer does not have a C drive for whatever reason, you will need to remedy this before you can install either ZBrush or the Maxon App.
The simplest solution is also surprisingly inexpensive. Simply purchase a good quality USB stick (thumb drive) and plug that into your computer. Preferably via a USB-3 or USB-C port. Even a 16GB drive will do, but you can actually purchase drives with 1TB capacity for as little as $30 USD.
You will need to leave this drive permanently plugged into your computer.
After plugging in the drive, use your operating system to change the drive letter for this new drive from whatever the default was to be your C drive.
That's all there is to it! You will now be able to install the Maxon App and ZBrush.
The Maxon App must be installed on your C drive. ZBrush itself can be installed elsewhere if you wish, although it is optimized for the C drive as well.