It makes no difference where you put brushes. You just point Photoshop to wherever they are and select a brush from there. Another interrsting question is how do you view all of your brushes for easy selection! Thankfully, there are now excellent ways on both the Mac and PC. On the Mac (in Leopard), the solution is both free and brilliant. Someone has created a free "Quicklook" option for Photoshop brushes. Quicklook is absolutely brilliant in and of itself, but when you have a lot of brushes, it allows you to select a brush, press the spacebar and see a beautiful, smooth image of it's contents, then just smoothly and quickly arrow down through the brushes in all directories.
With the PC, there's a free solution, but it's not a good solution.
Opensource photohop brush viewer - abrViewer. This will let you look at brushes, but it doesn't seem to work very well and I can't get brushes to view large enough for it to be useful. The good solution is the commercial offering from Tumasoft. This lets you view your brushes at a very large size and arrow down through them. It's a small program with some other features as well. On my PC, this makes all the difference. On the Mac, Quicklook brush viewing plugin makes all the difference. I can't understand why Adobe hasn't come up with it's own solution for this. I almost assumed that Adobe Bridge would do this but was surprised to find that it can't.
Photoshop brushes 
