Click on the little arrow by the brush selection button for the drop down brush menu.
Click on the brush surrounded by dotted lines at the bottom right of that screen.
The brush tips screen will open. You will see your new brush in the window. Give it a name, etc.
When finished click ok there. ( I forgot you don't have to click on the other screen where I have final OK circled.)
Now when you open your brush selection again, it will be there ready to use!