Hi Dee and welcome to the forum !!
Usually what you do is save the zip file (most of the brushes sets are "zipped") in any directory or folder you like. I prefer to go to the folder where the Photoshop program files are stored then go to ""\Program Files\Adobe\Photoshop CS\Presets\Brushes"". Once in the brushes folder I download the zip file or the brush or brushes that may not be zipped.
After downloading is finished click on the new file with the right button (if you are a Mac user sorry but I don't know how this works) and select "restore to here" .
After that in Photoshop, select the brush tool and on the dropdown dialog box click on the small arrow up top of the box and select the add brushes option; when the program asks what you would like to do with the new brush or set, select the "append" option.
if there are some obscure aspects let me know and will see how to make a mini tutorial.
Regards - Martha