I put my tools in the "tools" directroy in the valve hammer editor directory, but I'm not sure it matters where they are...try moving them!
Double check/Redo your Game configurations and Build Programs menu settings using the Steam tutorial.
If you still can't get it to work, post screenies of the aformentioned menus.
Incidentally:
What version of Hammer are you using?
What Version of ZHLT are you using?