Actually, this myth was just proven to be just that, a myth. In an article published in the Annals of Emergency Medicine (June 8, 2012), researchers reviewed 19 studies published about the treatment of jellyfish stings. And guess what? There was no evidence that urine or meat tenderizer were helpful at all (phew).
They found that the topical painkiller, lidocaine, and hot water appeared to be the best remedies for stings by jellyfish in North America and Hawaii. For Portugese Man-of-War stings, vinegar was found to be somewhat useful, but for other jellyfish stings it may make the pain even worse.
So the next time you get a jellyfish sting, the article suggests that you remove the tentacles from the skin by scraping them off with the edge of a credit card. The area should then be carefully washed with saltwater, and either hot water (not scalding to burn the skin) or topical lidocaine can be applied. Oh, and tell your brother he can use the bathroom instead.