Can I install a row of bricks on a slab to support a shed?
Michael Karas is correct in that a half-height block foundation wall is common, but that doesn't really address your concern about water intrusion. His suggestion to seal the block does, and that wouldn't require the blocks in the first place. 

I would build your walls with bottom plates of treated lumber one nominal size wider than the walls themselves, and place the plates flush with the outside face of the wall sheathing, resting on foam "sill seal". 

Then I'd install a metal flashing against the plate, lapping onto the concrete. This I'd caulk to the concrete with urethane or other high-performance caulk. Wrap the building with housewrap fabric lapped onto the flashing to create a full drain plane. 

For extra protection you could apply a paint-on waterproofer or asphalt caulk to the area behind the flashing before it's installed. 

  |          | |
  |          | | &lt;-- sheathing
  |  stud    | |
  |          | ||
 _|__________|_||
|   plate      || &lt;-- flashing, caulked to the slab
|______________||___