Try at one of these directories:
32-bit Windows
Code:
C:\Program Files\Adobe\Adobe Photoshop CS2\Presets\Brushes
64-bit Windows
Code:
C:\Program Files (x86)\Adobe\Adobe Photoshop CS2\Presets\Brushes
OS X (Not sure on this, but a good guess)
Code:
Macintosh HD:Applications:Adobe Photoshop CS2:Presets:Brushes
Then once in Photoshop, when you go to select the brush you want, make sure you click the little > arrow in the circle and choose to load the brushes you just added.