Step 1:: You can either go to a website that has brushes or make them yourself. I made a circle in MS Paint.
Step 2:: After you have your brush or brushes, open them up in Paint Shop Pro:
NOTE: Do NOT make it transparent, make sure there is a white background behind it and the size isn't over 500x500.
Step 3:: When you have a brush opened up go to File > Export > Custom Brush and this should pop up:
Step 4:: Name your brush to whatever and and click ok. Make sure you close out the brush you already exported, so you don't have a double. I've done it before, =D.
Step 5:: Click on your brush tool:
and a menu will appear and click on a drop down menu to see your brush like so:
You just exported your first brush, congrats.
If this tutorial helped, a link back is required.