Did you make sure that the file was not "Read-only"? Right click on the file you painted, and go to Properties, make sure that the box in front of read-only is unchecked.
You also may not have packaged the file correctly. Make sure you have the files arranged like this:
entities > units > animals > Name of Animal (example: WolfGray). Right click on entities, hit "add to archive" and when you package it with WinRar, make sure that you hit ZIP not RAR and save the file as a .z2f
Also, make sure that you put it in your MAIN ZT2 directory, not the downloads folder