No you don't need another program. I know how to do it and there were other threads about this, so let me find it. =] It's the same for both ways also.
editFOUND IT!
go to my computer>>tools>> folder options. go to view and make sure that the option called hide file extension types or something like that is unchecked. then go back to the folder, and you should be able to see filename.jbr, rename it into filename.abr and put it in the photoshop brushes folder.