First off, where you put the brushes depends on where you have PhotoShop installed. By default, PhotoShop would be installed on the C: drive under 'Program Files\Adobe\PhotoShop', so that's where you want to go unless you installed it in a different directory.
What Jopuma has said has lead me to believe that you have Photoshop CS2, which may or may not be the case. Though you shouldn't worry about what version of Photoshop you have and if you don't see 'PhotoShop
CS2', don't worry about it; just put the brushes in whichever PhotoShop folder is there.
So, you're going to put your brushes in:
#:\Program Files\Adobe\PhotoShop #\Presets\Brushes
'#' being the hard drive PhotoShop is installed on and whichever version of PhotoShop you have.
Now if PhotoShop isn't already open, open it now. Now select the brush tool and go to the drop down menu
as Prince already explained. I'm not sure if restarting PhotoShop is necessary, but if your brushes don't show up after loading them, restart PhotoShop then check again to see if they're installed.