Ian,
OK, let's back up here: when you open ZoomBrowser using your Favorites Folders tab you say you see your new pictures, right? Now, do those pictures show up as "full thumbnails" without a box with a folder name around them, or is there a box around them with a name, a folder name, identifying them?
To the left you should see a folder highlighted -- is the My Pictures folder highlighted? Or is a folder "under" My Pictures highlighted? Make note of exactly what folder is highlighted. If the ics on the right are in a "box" or frame, note the name showing -- it should be a folder "under" the My Pictures folder. You may need to click a "+" sign next to My Pictures to expand it. Once you see the folder that actually holds the pictures, then be sure to click on that folder on the left to select/highlight it.
At this point you see where your pics are in the My Pictures folder in the Favorite Folders Tab (assuming that's where you found them), but in DPP there is not a Favorites Folders tab. So, making sure that the folder on the left in ZoomBrowser is highlighted, click the All Folders tab and you should see something similar to what you see in DPP, although not exactly the same. In ZoomBrowser, scroll that left panel all the way up and you should see your folder and pictures in a "path" of Desktop->Owner->My Pictures->(specific folder name).
Now, if you have gotten there, I'll give you a bit of understanding. These "folder views" only partly reflect what is actually set up on your hard drive. On your hard drive you see you "actual" folder view in an app like Explorer or, in My Computer, double-clicking say the C:\ drive. Zoom Browser and DPP use these "Virtual" paths like the above as convenient "user friendly" names, although you can get there by scrolling down in the left panel to My Computer and navigating through to your pictures folder.
As a reference and a pointer to how to do that, I suggested you check the top of your ZoomBrowser window, in the "Title Bar". This should either be solid blue or a transparent gray (I think in Vista it's transparent gray). With the folder on the left highlighted, the Title Bar should have something like this displayed:
ZoomBrowser EX - C:\users\("owner" or user name)\pictures\(specific folder name if inside My Pictures)
This is how it is in Win7 and if I remember Vista follows this "path".
Now, DPP follows a similar "virtual" path as the ZoomBrowser left panel, in that it has a Desktop label for the top/parent folder, but there are a few differences: in DPP, you can also get to your pictues through Libraries\Pictures (right under Desktop) or your user name\My Pictures (rather than the name "owner" that you see in ZoomBrowser) or through the Computer "folder toward the bottom of the panel, following a path like you saw in the Title Bar of ZoomBrowser. Using one of these approaches, you should land in the folder that ZoomBrowser is pointing to. Understand that DPP doesn't "see" pictures in underlying folders, so if you click on My Pictures in DPP you won't see anything in a folder inside of My Pictures unless you "expand" ("+") My Pictures and then highlight the folder in the left panel folder view.
I'm hopping between two computer right now and the laptop with ZoomBrowser isn't set up to do a screenshot at this point, so try poking around with what I've told you. Get back to us if you can't get it working.
But, one more bit of advice: You want to set up EOS Utility and DPP to work together. If you open EOS Utility and click the Preferences button (and click againg if your camera is not connected) then, in the Preferences dialog there is a Linked Software tab at the far right -- in fact you will likely have to click the little right arrow in the upper right corner to scroll to that tab. Open that tab and you can select DPP to work with EOS Utility.
Also, in DPP, you can select a folder and then click Tools and note that there are two useful commands: Start EOS Utilities and Synch Folder with EOS Utilities will give you more "structure" between the two apps.
Hope this helps!