First
you need a selection of Photoshop brushes to save, you
can either create these from new as shown
here , or you can download other
photoshop
brushes from the Internet, and collect all your favorite
brushes together into one large set.
Start by loading all the sets of photoshop brushes you
want in that set, now sort through the brushes and delete
the ones you don't want by right mouse clicking on them
or ( alt + mouse click (photoshop version 6 onwards over
the brush you dont want) 5.5 Ctrl + mouse click).
When you are happy with the brush selection in the palate
go to save brushes, this will save all the brushes into
one set.
You will need to delete all the default photoshop brushes
as well, as any brushes featured in the menu will be loaded
into the .abr file.
This method is pretty handy if you want to keep e.g. all
your grunge, nature etc. together in one large set.