I tried to use the tutorial on http://www.gimp.org/tutorials/Custom_Brushes/ to make a custom brush in Gimp. I want to do this to create a brush of an image texture I would use to make a UV map for Blender. I did the tutorial, but the brush didn’t show up, even when I hit the refresh button. I saved it as a .gih under C:\Program Files\GIMP-2.0\share\gimp\2.0\brushes
You should probably save it in the place for custom brushes. Depending on how you installed Gimp, on Windows this location should be something like C:\Documents and Settings[user].gimp-[version]\brushes.
Also, since animated brushes can sometimes be more difficult to get right, try saving a standard brush (.gbr) first to make sure it shows up. Then you’ll know you’re at least saving the brushes in the right place.
Hopeflly this can help a bit.