Matt K , Feb 14, 2007; 10:35 a.m.
This is on a Mac, right? CS3 (not CS2), I assume?
It's a known bug that Adobe will have fixed by the final release.
The brush circle will appear if you are using a really small size brush.
The only workaround I know is to run under Rosetta. Do a Get Info on the app and check the "open using rosetta" box.