building your header is a fairly simple concept. I would assemble your 2x10 to the outer king studs before putting them up in place. Make sure to put some plywood between the 2x10s so that they are tied together and are the same width as your king studs. Then fasten the king studs to the brick. after you have that completed put 2 more 2x4s up so they touch the floor and the 2x10 and nail them to the king studs, these are the ones that hold the weight. then its just a matter of trimming out the opening.
here is the basic image of what you are making