If you downloaded them and saved them to your brushes folder (in windows, this is the location where I save mine)-
C:\Program Files\Adobe\Photoshop CS\Presets\Brushes
C:\Program Files\Adobe\Photoshop CS\Presets\Brushes\Adobe Photoshop Only
It all depends on the location you chose to install Photoshop.
All that's left to do after the download is complete is to open your brushes pallete, click the arrow for the drop-down box to appear, and chose either load or replace brushes. Click on the set you want to load, and that should be it.
The only other explanation I can think of is that your version of Photoshop may not be compatible with the CS brushes.