You'll need a drawdio to make this device. Go to makeprojects.com/DIY $10 Drawdio to make a cheap version. Or, you can order a kit from the makershed. Either way, you'll have to make one. If you are making the one from the makershed, go to ladyada's website for instructions.
Use copper tape to mount one wire (that was supposed to go to the lead) around the paintbrush. This is where you are going to hold. Use a 2-3 inch piece of copper tape to use the other wire to the bristles.
Dip the bristles into some water (salt water works better). Spread some water across a surface like old wood. While keeping the drawdio touching the water, touch your finger to the other side of the water. (Where the red circle is.) If it isn't working, maybe the water isn't connected.