If u se like deviantart for exaple. click d/;l to destop then u save it in the unzipped section. Then to open it in PS, go to replace brushes and find it, then click it.
I think he tried to say unzip the zip files so all the brushes are in a folder of some sort then run PS
when u d/l to destop the thing pops up to where u wanna save it. I save in My Documents-->Unzipped Files
when you unzip them copy the .abr files into the crogramfiles/adobe/photoshop/presets/photoshoponly folder.
Ah, the brushes you have are prolly not compatible with yur version. Which photoshop are you using, and which brush set? If the brushes were made with cs2 they would not work with cs or lower. If they were made with cs, they will now work with 7 or lower. Catch the pattern. Stupid adobe, make the bruhses universal for all photoshops.
if you want them to show up in photoshop place them in the presets folder crogramfiles/adobe/photoshop/presets/brushes otherwise you select 'replace brushes' from the menu and you have to find 'em manually also like anubis said check if the brushes are compatible with your version of photoshop