You can import CSP brushes into CSP, which have a .sut file extension. I don't think you can import brushes from SAI or other programs though.
You can create textured brushes - in the tool property window for any brush, click the little wrench icon, which brings up the full list of settings.
Once you've added a texture to a brush you can mess around with the various settings.
You can create a texture (or brush) out of any image by going to Edit -> Register Material -> Image, which makes this pop up:
Then the image should be available to use as a texture or a brush shape.
Hopefully that's not too confusing X)