Once you have downloaded your brush / brushes be sure to save them in two places on your computer one where your other brushes maybe located and another on an external for safe keeping. I personally keep a set on my desktop and two versions of the same file on an external.
Open PS / PSE and you will choose your brush tool, right click your brush tool to get this dialog box:
Navigate to the folder which you saved your brushes in:
Click on the brush you want to load and it should show in this panel / dialog box.
Once you see your brush there either make a new layer or use an image as your background and you can click it to be foreground color by choosing your color picker (you can also sample a color off your image or a custom color to your liking but it will always default to your foreground color). Below I choose black. You can use your bracket keys to change the size of your custom brush.
IF you are using the brush on a separate new layer you will also have the ability to move it be sure that you constrain your proportions otherwise it may look strange.
Now time play and enjoy if you ever need any assistance please feel free to contact me via the contact area within the website