First get an image that you will be using to make a brush, I will be using this one of frozen trees;
Now go Filter > Blur > Motion Blur, and use these settings:
The go to Filter > Blure > Radial Blur, and use these settings:
Blur Method: Zoom
And you should get something like this:
Then, press Ctrl+U, check the colourize box and set the Hue and Saturation to 0 and you should get something like this:
Select the Eraser Tool and select the Soft Round 300 pixels. Start erasing the outside and you should leave something like this:
Now go to Edit > Define Brush Preset and put a Name your brush!
Using the brush, it might look like this in a signiture:
Now you have learn't the basics of making your own brushes, I know the brush isn't great, but it will get you going!