A little tutorial for Windows,
after you download your brushes,and you have them as archives,
WinRAR

WinZIP

that's if you have your *.ABR files,in zip/rar archives.
If you have them as single files,you use CTRL+C (copy) go to "C:\Program Files\Adobe\Photoshop\Presets\Brushes" and push CTRL+V (paste) into Brushes folder , that's all.
Remember if you have PhotoShop already running it might not work to see your new Brushes loaded,so its good to close your PhotShop,when you want to install new Brushes,and then open PhotoShop to see if your Brushes are there.