Choose the brush tool, "B" key, click on the brush selection dropdown (as you have pictured), then click on the brush you want. You can specify size, opacity, hardness, and even blend mode (though that normally requires some experience or following a tutorial to use).
Does that answer your question or am I missing something?
If you talking about changing the brush preset, click the gear icon, select the brush set you desire and click, when the window asking "replace current brushes with the brushes from DP brushes" appears then choose append or OK. Choosing append will add the brushes to your current selection. Choosing OK will load only the brush set you chose. You can always re-load the set your replacing.
The catch is, if you've made any custom brushes, you will be prompted to save them. If you don't save them they will be lost if you choose OK. I created a new brush preset named "Custom Brushes". Using the Preset Manager, I add all of my custom made brushes to this preset.