Estimate the number of bricks you'll need for your wall. It usually takes about 19 bricks to fill one square foot of space. Round up so you have extra bricks to ensure you don't run out.
Dig a trench for your wall using a shovel. The taller the wall, the deeper the trench should be. A wall 40 inches high should have a trench at least 20 inches deep.
Add water to a mortar mix in a bucket and stir it consistently with a paint stirrer until it has the even consistency of pancake batter. Follow instructions on the packaging regarding how much water to add.
Fill the bottom of the trench with mortar and then use a flat piece of wood to level it off so the mortar is spread evenly.
Spread mortar over the bottom of a brick with a trowel and lay it down at the end the trench. Lay another brick next to it and use the mortar as a glue to stick the bricks together. Continue until you have your first row completed. Keep the bricks as tightly packed together as possible.
Cover the top of the brick row with mortar so you can attach the second row. Dip the tip of the trowel into the center of the mortar on each brick because it will make it easier to place the next brick properly.
Place a level on the row of bricks and verify that each brick is the same height as the ones next to it. Tap uneven bricks with a trowel to settle them into the mortar more so they are all equal height.
Continue adding rows until your wall has the required height. It takes about a day for the mortar to dry completely and then it continues to cure and grow stronger over time. Once the 24 hours have passed, refill the trench with dirt. The mortar will be dry enough by then that the dirt won't affect it.