What's this Load Brain, Store Brain?

You cannot turn it on, they're buttons. Store Brain saves the hashtables to disk, Load Brain loads them in again (you must not change the hash size when doing this).
The idea is that if you are doing a deep positional analysis and need to stop the engine for whatever reason, you can 'Save Brain', quit Deep Sjeng, and later on load it up again and 'Load Brain'.
It is probably only interesting to correspondence chess players.