Search for the new brush file&open it. Mine is highlighted. 

Next. If you downloaded it properly, the GIMP Cat will pop up in the folder. 

Drag the brush to the GIMP 2.8 folder. If you don't see the folder do these steps. 

Computer>User>(insert your name)> gimp 2.8

click on the gimp 2.8 folder and you will see this page. Look for the GIMP icon and look for the brush folder 

Drag it to the brush folder and click on the brush folder&check if the brush is there. 

Go back onto GIMP and refesh. 

and Tah-Dah! 

There you go buddy. Sorry if it's confusing tho XD