AbnRanger, BeatKitano, thank you for all your advices.
I found time to try other ways. abr viewer mentionned in the Mudbox video is very usefull.
I still have a problem loading brushes even with the method you mentionned.
I unpacked .abr brushes in a folder and selected one of the .png inside it with the "add existing folder" option.
The brushes came rather quickly into 3dCoat interface, but they where all black:

I can understand that it is related to some problem with these brushes alpha nature ore size, but there is something
more weird than the icon looks;
If I load the brushes when "Airbrush" selected in voxel room, work a bit on a primitive with airbrush and after a while
choose an other tool (flaten or anything), then all the brush I previously loaded vanishes. Do you think it is because
the folder I pointed was outside 3dCoat folders (was on my C drive root)?
Can we consider this as a bug? If not, there should be something to keep us from laoding brushes like that.
I don't mind trying other ways, but I don't know about building a brush pack myself differently.
Any idea? sorry to ask about it again. Yoroshiku!