This site has tutorials that show you how to create your own custom brushes for Photoshop 6 or higher plus,

Installing brushes
Saving brush sets
Tip batch no. 1
Tip batch no. 2
Making grunge brushes
Adding colour to brushes
Save PS7 brush settings

This tutorial will show you how to create your own custom brushes for Photoshop 5.5.

PhotoShop comes loaded with many cool brushes, yet did you know that you can create your own? Yes, creating brushes for PhotoShop is possible, and easy too. Let's get started and create a brush of our own right now!