A brick session is one where you train two disciplines during the same workout, straight after the other with minimal to no break in between.
This trains your body to instantly start using different muscles, or using the same muscles differently, as you move from swim to bike or bike to run. When racing you are required to switch from one discipline to the next and so it makes sense to train for this. The key is to ensure your body is prepared for the next demand while recovering from the previous activity.
Your heart rate will spike as your body tries to shift the blood flow from the muscles of the first exercise to the demands of the muscles of the next. Brick workouts will accustom you to these demands.
For the triathlete, the most obvious reason to use brick sessions is that this replicates the event/race. You do not compete in each phase of the race in isolation so why would you train in isolation 100% of the time. If you have already competed in a triathlon you may have experienced ‘swim legs’ or ‘bike legs’. This is where your muscles have been used to performing in a particular way, and then you have to use them differently.
Brick sessions will allow you to ‘switch on’ your muscles to act differently and in a more efficient and effective way. A brick session does not need to be rocket science, with an over complicated structure. Just factor in a 10/15-minute run after your bike.