Don Vandervort, Head Homeboy, has written more than 30 DIY home improvement books, been a segment host on HGTV, served as MSN.com's home improvement expert and written countless magazine articles.
On masonry walls, hang light objects from special tempered-steel masonry nails. Drive them in with a hammer (be sure to wear safety glasses).
For heavier objects, use anchors that have a sleeve that expands to hold a screw or bolt in place. The key to successful installation of masonry anchors is proper drilling of the hole to receive the sleeve and screw.
Use an electric drill with a carbide-tipped masonry bit to drill the hole. Then push in the sleeve, insert the screw through whatever you are fastening, and drive the screw into the sleeve.