Trying to paste into a new brush, I get the following error message:
Error while executing script-fu-paste-as-brush:
Error: Procedure execution of file-gbr-save failed: Could not open 'C:\Users\username/brushes/mybrush2.gbr' for writing: No such file or directory
The folder "C:\Users\username\brushes" indeed does not exist;
The brushes folder in the preferences is: "C:\Users\username\ .gimp-2.6\brushes", which does exist.
To work around this, I created the "C:\Users\username\brushes" folder, and now the brush was saved to that new folder, but I got a different error:
Error while executing script-fu-paste-as-brush:
Error: Procedure execution of gimp-context-set-brush failed on invalid input arguments: Brush 'My Brush' not found
I tried to copy the gbr file from my newly created file to "C:\Users\username\ .gimp-2.6\brushes", refreshed the brushes, and indeed, my new brush appeared.
So, it seems that gimp reads the brushes from the correct folder, but tries to write new brushes into an incorrect folder!
I use GIMP 2.6.7 on Windows Vista.