If I have a zone specific card like Steel Behemoth http://deckbox.org/whi/Steel%20Behemoth that can only played in battlefield in my battlefield.

Can I by a cardeffect like Forced March http://deckbox.org/whi/Forced%20March move this to another zone and get to keep the card in play?

Yes, of course. The restrictions are only for playing/putting in play cards.

Sorry for the question and thanks for the answer.

My brother who I play with thought me stupid to ask that question cause It's basic knowledge.

Don't listen to your brother!

Does this rule also apply to heroes? So can I move a hero to a zone with a hero already in it?

No, every hero has limitation:

Limit one Hero per Zone.