Sadsister, yes, littleP was my first baby. Her sister is now with us safe and sound (asleep, hurrah!). I have a tendency to withdraw into myself at tough times, and I have to say I was overwhelmed by just how angry I felt for a long time - at the world, really.
I think it was really hard for my husband, as his friends didn't know what to say, and many didn't understand. They thought it was just like an early miscarriage (which is not to say that that isn't really awful, just different), and didn't understand that I'd gone through labour and delivered the baby. One of the things which still makes me so sad is that the first baby my husband ever held was the dead body of his own daughter, and it still breaks my heart when I think about that.
One of his friends came to visit us a few months after P died, and he and my husband went to the pub. S came back so happy as his friend had asked him about what had happened, and he'd been able to talk to someone other than me about it. Friend later told me he felt really bad that he hadn't realised sooner, but I'll always be grateful to him - the smile on S's face when he came through the door was wonderful - like a weight had been lifted.
You maybe don't need to try to discuss feelings with your brother, but talk about facts - what happened, what they called the baby, whether they chose to hold him/her or not, etc. As for your SIL - when my sister was due, I really liked that she asked me about what labour had felt like, and pain relief and stuff - it made P's birth feel "normal" and concrete and not secret. This will vary from person to person, though, and was much helped in my case by the amazing treatment we had in hospital.
Sorry for rambling. You will do the right thing, because you clearly are a kind, thoughtful and sensitive person, and that's really all you need to be.