When you import objects from Maya or 3d Max to Zbrush it will import as a single mesh. After importing a object you can separate it's part using Group Split method. Now lets see how to unwrap the UVs and separate the parts.
First you have to separate parts in Maya or 3d Max before the export. Otherwise it will not work. Go to Zplugin and expand the uv master. Turn on poly groups. Click unwrap.
Then you have to separate the parts. Go to Sub Tool section and expand the Split. Click on the Group Split. It will separate the parts of your 3d model. Now you can modify and texture your model of you choice.