Ah. Well, let me get you caught up on terminology, then.
An "EXE" is shorthand for executable, taken from the standard filename extension that's been in use since the MS-DOS days (".exe"). In this case, the executable you're running is gzdoom.exe - it's the one with the icon of the Doomguy facing forward.
Related to file extesnsions, Doom stores all of its files in ".wad" files. Of these WADs, there are two types: IWADs and PWADs. IWADs are the WADs that contain the game data proper - doom.wad, doom2.wad, tnt.wad, plutonia.wad, etc - the ones that come with the game. PWADs are fanmade patch WADs containing custom content. If you've ever downloaded a mapset or a mod that turns all the demons into Barney the Dinosaur, those are PWADs.
Now, technically, ZDoom (and its child source ports, including GZDoom) actually support file formats other than the WAD format; they also support ZIP files, the extension of which can either be ".zip" (of course) or ".pk3" (kind of a Quake-ism, but still). It also supports 7zip compression; mods with that level of compression will end with ".pk7".
Now, with all that out of the way, what I'm suggesting you do is you take brutal19.pk3 and drag it onto gzdoom.exe. Say you wanted to play a custom mapset at the same time, like Alien Vendetta (av.wad); you would select both av.wad and brutal19.pk3 and drag both onto gzdoom.exe. If you wanted to try Alien Vendetta without Brutal Doom, you would just drag av.wad onto gzdoom.exe. Makes sense, right?
I'm admittedly a bit of a curmudgeon, but the "put it in your skins folder" method forces Brutal Doom to be loaded no matter what you're playing, and that can cause problems when map sets don't work with it (either they modify the same objects, causing conflicting definitions and unpredictable behavior, or they're simply not balanced correctly with the mod) or you wanted to try another gameplay mod entirely (can't really run two of those at once, generally speaking). In those cases, you'd want to try 'em without Brutal Doom, but if it's forcing itself to load every time, you wouldn't be able to do so. You're welcome to continue with making it load every time if you really want to - it'd save you having to drag it onto the EXE, I suppose - I just don't recommend it.