'My concern is, are they easy to install?'
You will need a skilled installer.

'Do they come in different sizes, and colors.'
Yes

'I would also like to know if we could use a concrete paver to build a wall in the back of our yard?'
You will need to use the right concrete blocks, they are available in many colors and sizes. Is it a retention wall or a 'landscape' project?

'Will using a concrete paver for a wall stand up to harsh weather conditions, or would they fall apart after extended rain or snow Are the cost for a concrete paver expensive? And are they worth the money that you would invest in something like this?'
Yes, if you use the right product. They will not fall apart. Then again, is it going to be a retention wall? Not all concrete blocks are ok for all applications. In some cases you will need to use mortar or some adhesive (at walls). I like the look so I think it's worth the money. It is more expensive than regular concrete driveway but there are some advantages, too. Actually, I prefer it to stamped concrete.
See link

Here is a link that might be useful: Pavers and concrete blocks

marie33,

You can get a lot of ideas in the previous link.

I just noticed that they have most of the answers to your questions, go to their FAQ section (top-right)

See link

Here is a link that might be useful: FAQ

Hi all,

Searching GOOGLE i found a very interesting guide about pavers , i found the following section specially interesting for people not full familiar with this specific industry but you can found the full article at:
1. How are paving stones made?
Briefly, paving stones are made by combining cement, stones, sand, color and minimal amount of water. These materials are combined by predetermined recipes in a steel mold of the shape desired. Under high vibration and hydraulic pressure the materials are compacted in the mold to create the paving stone you selected. The product is then set aside to air dry, subsequently packaged and shipped to the jobsite.
2. What about colors?
A2. The paving stone color desired is achieved by conditioning various pigments in specific recipes. The color is included in the manufacturing process and your paving stone will have your selected color through the entire stone not just on top and not just a tinting of color in the base. You may also notice slight color variations within your project.
Color variations are most noticeable when a project utilizes one solid color throughout the project
(....)
Photos at this site give some ideas too, are very nice.
Kind regards
Marie

Here is a link that might be useful: Florida Pavers