Do you have Photoshop? If yes then you click on the link for download. That should open a new window with the brushset-symbol. Click on it and move it then to where you have stored your files of Photoshop. The brushes should have an own file. Mine is stored at:
C:\Programme\Adobe\Photoshop Elements 3.0\Presets\brushes

If you start then PSP the new brush should be in it.

If you have question (I don't know all English terms for PCs), just ask ;)