I built a raised flower bed out of brick at my sister's house. Hers is only about a foot high, but there's no reason you couldn't build it much higher using exactly the same method.
I bought bricks with three large holes in each brick like the ones above. But, my bricks were white (so the white PVC pipe wouldn't stand out). What's important when choosing a brick is that the distance between the first and third hole in any brick is exactly the same as the distance between the third hole of the first brick and the first hole of the second brick when the bricks are laid end-to-end.
Using the first and third holes of each brick in each row allows you to make 90 degree corners in your retaining wall as well, but check that the distance from the center of the first or third hole to the end of the brick is the same as it is to the side of the brick. Otherwise the corners will have gaps in them, or you'll have to cut the ends off some of the corner bricks.
There will never be a pipe going through the middle holes of the bricks because the ends of the bricks in the row above and the row below will meet over that middle hole. Consequently, there won't be any pipes going through the middle hole of any brick; only the first and third holes.
Now, rent a long 1 1/4 inch diameter wood auger bit and drill holes in the ground at the same spacing as the distance between the centers of the first and third holes in your bricks. Push precut pieces of PVC pipe into those holes. In my case, I bought a short 1 1/4 inch auger bit, but you can also buy an auger bit extension that will allow you to drill holes much deeper. Just tighten the bygeezus out of the set screw holding the bit in the extension so you don't lose the bit down a hole. Maybe use hose clamps on both and hold the clamps together with a piece of wire so that if you do lose the bit, you can always pull it out with the extension. In my sister's case, the holes were only a few inches deep and the brick wall only about a foot high, but deeper holes would have allowed a higher wall.
Then I threaded the bricks over the PVC pipes to make a brick pattern, but without mortar. The PVC pipes held the bricks together. Some of the PVC pipes will push into the holes easier and deeper than others, so when you get to the top of the shortest pipe, cut the other pipes off flush with the top of the top row of bricks.
Also, where I live, the ground freezes in winter and the resulting frost heave would cause a normal brick retaining wall to crack unless it's built on a foundation that extends down below the frost line (which is about 5 feet deep here in Winnipeg). So, even if an ice lens forms under my sister's brick retaining wall, the bricks are free to move so the whole wall can flex a bit to accomodate frost heave in winter.
It occurs to me that if you're only wanting to build a short retaining wall, an easier way to build it would be to:
1. lay out the bottom course of bricks on the ground with the ends tight together
2. Use a miter saw to cut a point onto short pieces of 1" PVC pipe
3. Hammer those pieces of pipe into the first and third holes of each brick
4. Thread subsequent rows of brick onto those pipes and stop when you get to the top of the shortest pipe.
You can make a curved wall by cutting off the corners of the bricks with a hand grinder or chop saw.
And, if you can't find 3-hole bricks made so that they can be woven together as suggested, you can always rent a chop saw and cut a few 8ths of an inch off each end of each brick to make bricks that will work. Just clamp a wood stop to the fence of the chop saw so that each end of each brick gets exactly the same amount cut off.