A brick is a double workout, usually a nice long bike ride followed by a fast run of short to medium length. The purpose is to simulate race conditions of jumping off the bike and running full speed. This is an exercise that pays large dividends and much like speed work on a track, requires determination. The body needs to be trained to go from biking to running without much of a warm up and that is the purpose. You can make up your own bricks of back to back events. More than likely as you progress in training you will undoubtedly train in more than one sport per day but it’s the time between events that make it a true brick workout.
Here’s a great video of brick training techniques.