Hi. I tried the drag & drop method for importing brushes. I tried downloading to the appdata location for the specific brush. These methods didn't work.
In the File menu, it has a function for importing brushes. This method works.
This isn't in the help file under Importing Brushes.
It would be a good idea to update your program help file to reflect this ... just in case there are others who don't examine the menu bar or for those confused by the "import brushes" methods listed.
That said, I've recently upgraded the program and added the particle system add-on. FP4 is fairly awesome. :)