I'm at the office right now, so I don't have a front Z06 brake caliper in front of me. However, from memory, this is how it's assembled.
Caliper bracket: This is the big bracket that bolts to the front spindle. The brake pads are supported inside this bracket.
Caliper body: This is the hydraulic body that contains the pistons.
Okay, here's what I remember from the assembly procedure:
1) Slide your brake pads into the caliper bracket
2) Slide the bracket, with pads, over the brake rotor and bolt the bracket onto the spindle. Tighten both bolts, but do not torque them down yet.
3) Grab the caliper body and use a big channel lock plier or nice piston compressor to push the pistons back into their bore. Don't push back too far! You just need to retract the pistons enough that the caliper body slips over the brake pads.
4) Install the guide pins. They thread into the caliper body and then the long portion of the pin goes into a machined bore in the caliper bracket. There should be a plastic sleeve that centers the guide pin that is inserted all the way into the hole in the caliper bracket. There is also a sleeve/dust boot that is at the top of the hole in the caliper bracket that centers the guide pin and keeps dirt out of the bore.
5) Tighten all your fasteners.
Thanks for your reply. I acutally installed everything but had thought about my question some more right after posting it and figured out that the guide pins CANNOT slide out, as long as the caliper is in place. The pin simply limits the vertical movement of the caliper, the horizontal movement is limited by the caliper itself.