not sure if it's the best/only way to do it but when you select a new brush set, click 'append' instead of 'ok' and it adds the new one to the list of brushes already selected. Just do this for all sets you want i guess
If you don't want to install all your brushes (to save on memory), you can consider installing ABR Viewer: http://abrviewer.sourceforge.net/ (requires .NET framework to run).
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