To Install :Click on the banner for the brush you would like to download. You should be prompted shortly afterwards, asking if you would like to save the .zip file. (If you are not prompted, then right click on the banner and select 'save target as')
Save the file to your hard drive. I suggest creating a folder within your c drive titled 'brushes' and storing all of your downloaded photoshop brushes there. It's simply easier for yourself in the long run.
After it has saved to your hard drive, browse to that location. Extract the .zip file. Now you should see two files: a .txt file and an .abr file. Open up Adobe Photoshop CS.
Create a new document, or open a previous one. Click on the 'brush' tool. Next, open up the brush properties, and click on the small arrow on the right side of it. A menu should expand outwards, click on 'load brushes' within that menu.
Next, browse to the location of the brush you downloaded, and select the .abr file. That file is the actual brush.
Now, you're done! You should see the new brushes at the bottom of your brushes list in the brush properties.