Open PhotoshopGo to the top right hand corner where you will see three tabs.One of them will be labeled Brushes.Open up the tab and something should open.Look for a little circle thing with a tiny little sideways triangle in it.Click on that and find load brushes.Browse for the brush you downloaded and just open it.You should have your brush under the brush menu.
To make it so that you don't have to load the brushes every time you want to use them, do this:Go to C\Program Files\Adobe\Photoshop CS2(or whatever version youre using)\Presets\Brushes and move them there.