Have you installed the grunge brushes on your pc?

If you haven't, put the *.abr file into your Photoshop>>Preset>>Brushes folder and reload
photoshop.

Do get the grungy effect, seriously just tap the mouse over the document, and then more it a bit. Change the brush, click again.

Grunge is always messed up and has a "dirty, grimy" feel to it.