The lack of the file seems to be based on the version of Sai that you have. I bought mine two weeks ago, but meh, idk, whatever. Still didn't have the folder. So, I found this:empty-frames.deviantart.com/ar…
Download file, save to PC, and unzip. Inside is the infamous "Do-It-Yourself" Folder. Move it to your Sai directory (mine is located at C:\PaintToolSAI). Open the PS file in SAI, and save it to the same location as a bitmap, or .bmp, file. Delete the PS file.
You now have an empty brush template. Save your brushes as .bmp files and copy to your 'elemap' Folder, as DarlingMionette has already described.
But wait! There's more!
In your directory, open the CONF file labeled brushform with Notepad, and add your brush to the list in this format:
(Brush name must be exactly as it is labeled in your file, omit brackets.
Save the file, and restart SAI.
Your brush should show up under the "Simple Circle" dropdown, and be ready for use.
Hope this helps some artists! Sorry it's a little long-winded, I did all of this as I wrote the instructions to make sure I didn't leave anything out. ^-^