Some brushes are made to be transparent, some were not. But the nature of Photoshop brushes is to make them so, if they're not purely black and white. So, how do you get rid of that transparency afterward? This tutorial will show you!
This technique was one of the single most important things that I learned when it came to using Photoshop brushes & making them look realistic.
(This tutorial was made for Photoshop, but the principles are all very basic ones. It could easily be used with Paint Shop Pro (PSP) or GIMP, or any graphics program with layers.)