Does the brother bear the burden of what his brother will do by downloading movies from the site he directed him to?

There is no inherent sin in teaching how to use file-sharing websites. However, one is sinful if their intention in teaching is to facilitate forbidden acts, such as viewing illicit content, infringing upon rights, or exposing private parts, unless the teacher repents and reforms. As for your duty, it is to fear Allah, avoid forbidden acts, repent, and increase in supplication and charity for yourself and your brother.