The brush files you download should have a suffix of .abr.

To load them, open a document
Select the brush tool.
Right click (PC) or Option Click (Mac) to get the Brush contextual menu. In that menu, go to the flyout menu (little triangle at the top of the menu).
Select Load Brushes.
A dialog box will open, navigate to the downloaded brush set and select it.

You can either append the new brushes to the existing set or replace.

Done.
References :
A Photoshop pro

For them to be automatically added to the list of sets of brushes for you to choose (meaning when you have the brush tool selected and you click on the arrow pointing down in the options bar and on the new box you click on the arrow pointing to the right inside the little circle to give you more options), you need to put them under Adobe\Photoshop cs2\Presets\Brushes. The folders will already exist on your computer, just make sure you place the .abr file in this location. If you use Windows add c:\program files in front of Adobe on the location above.

Be careful if you are using Windows Vista not to place it under the user folder, as that won't work.
References :