First of all, be sure that Photoshop is CLOSE.
Installing .ABR files could not be much easier. You simply need to copy the file to the correct directory. If you downloaded the brush set in a zip file, you can just extract the 'abr' file straight to the right place. That "right place" is in the 'Presets' directory of your main Photoshop program folder, under the subdirectory 'Brushes'. For example, using the default installation path for Photoshop CS2, my brushes reside here:
C:\Program Files\Adobe\Adobe Photoshop CS2\Presets\Brushes\