Don't do it! It costs a ton of money for it's disposal. Use cement units (like Keystone - for a large wall)

Here is a link that might be useful: Health problems caused by creosote exposure

Retaining walls should never be "waterproof". It's the fact that they are designed to allow water to pass through them via proper drainage backfill that allows them to remain in existence at all. The pressure of just a simple 1/4" rainfall can collapse an improperly created retaining wall because of the tons of weight it creates behind it from the wet soil. This isn't an area to guess what you are doing. The consequences of not doing it correctly can be severe.

Although hollysprings is generally correct, he/she might be an alarmist for your particular installation as we have no knowledge about the height or purpose of the OPs proposed retaining wall.

Retaining walls can be designed to resist hydrostatic loads (you can design for any loading condition you want), but usually they are free draining to preclude the build up of hydrostatic forces.

Questions for OP:
What is the wall for?
How high, how long, and what is at the sides?
Why do you want it to be waterproof?

And barriers less than 2'6" in height are generally not considered retaining.

Concrete block retaining walls need waterproofing and should be designed to withstand any loads the wet soil or ground water places on them.

There a number of products available that do this.

Who want's mouldy looking walls?

Water passing through any wall structure will decrease longevity and cause erosion