changing brush from something to .abr?

im somewhat new to the whole textures and brushes things. I didn't know before downloading that you had to use like PSP brushes for PSP and PS for PS, etc. I have PSP X and it is confusing me! I downloaded some amazing brushes but can't seem to change them to .abr! I tried opening the file and clicked on 'save as' and tried searching for photobrush or whatever, but it's not to be seen. :( someone help me change it to abr!