Well, i first save my "brush" and create it as a custom brush on my paint shop pro 9. BUT it will NOT transfer so i can use it!

example -->
http://i35.tinypic.com/fu2xrq.png
that keeps popping up EVERY single time i try to transfer the brush! I tried many other brushes too and it keeps popping up that window >:/ I don't know why, am i doing something wrong?

i go up to file>import>custom brush
and i follow it along and than BAM! the window pops up RIGHT when i'm about to add it to use it as an eraser to get a grudge look on my work :/

I'm not great with the whole brushes thing, but I know that some brushes I download do not work either. I think it's just because of the different versions of the program. Some brushes aren't compatible with higher or lower versions. I always just look for an image pack or convert the brush files into brushes myself. It's really simple. I have a tutorial on it:

http://www.atomicaffliction.com/psp1.php

Just scroll down to the part that says Using Image Packs.

Well, if it was an issue with the file extensions, it would let you know. Have tried renaming and then importing them through the program? Otherwise you can go into the "My PSP Files" folder (which automatically should be in My Documents from when you installed the program) and tranport them to your Brushes folder from there.