How do I make a undeletable brick?

Destroying an object is just a matter of setting it's parent to nil. There is a difference, of course, between obj.Parent = nil and obj:Destroy(), but they are both setting the parent to nil. You cannot stop someone from destroying an object in your game unless you create some sandbox or wrapper in which you control how the functions behave.

However, there's the common pseudo-solution of "locking" the object's parent by waiting until it's destroyed, then cloning it back to it's original parent. Example:

local lockedPart = workspace:WaitForChild("LockedPart")

workspace.ChildRemoved:Connect(function(object)
    if object == lockedPart then
        local newLockedPart = lockedPart:Clone()
        newLockedPart.Parent = workspace
        lockedPart = newLockedPart -- update memory with new part
    end
end)

There are of course variations to this, such as using DescendantRemoving if the object is within some deeper hierarchy.

It's also worth noting that if the script is removed, modified, or disabled, the object will of course be destroy-able again. Thus why this is not really a good solution for preventing an exploit where you expect someone to be destroying objects on the server. Just keep filtering enabled on, and design your game such that clients don't have permission to execute high-level commands on the server.

You can do an undeletable brick by doing this by parenting this script to your brick that you want to make it undeletable.

local part = script.Parent

--= Brick Properties =--
local function respawnBrick()
    local debounce = false
    debounce = true -- this debounce prevents part to clone another time 
    local brickclone = Instance.new("Part")
    brickclone.BrickColor = Color3.fromRGB.new(0,0,0) -- your part's RGB value
    brickclone.Position = Vector3.new(0,0,0) -- the part's Position
    brickclone.Size = Vector3.new(0,0,0) -- the part's size
    brickclone.Anchor = true
    brickclone.CanCollide = true
    debounce = false
end)
--= Brick Properties =--

while wait(1) do -- update the script every 1 second
    if part then -- if there still have the part
        print("The brick is there")
        else
        print("The brick have been deleted")
        respawnBrick()
    end
end

Here you go! If you have more questions or confusing what I've said, comment below, and I'll be glad to help. Bye!

Edits: Scripts problems, grammars problems, confusing sentences