I still am not sure what type of hair you have? If you have arrow straight, what I call Asian hair, that is very difficult to curl. But, if you have fine hair that goes limp easily you can do things to help it hold a curl. Use hair mousse to make it more sticky, apply when hair is still wet and them blow dry. Next use a curling iron or curlers, curl, and do not brush until hair is completely cooled from having been in the curlers. Don’t overbrush, then spray with hair spray.
If you are trying to get a curl by just blow drying, dry completely and then wrap your hair around the brush and blow with cold air. Some hair dryers have a cold shot button, that is what will work best. But, if your hair is difficult to curl you probably need to use curlers or a curling iron.
If you like more body you can always do a perm with large curlers, and then your hair will hold a curl much better.