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concrete screws are blue.....you can buy the bit and screw together in a package from HD............I had to hang my hose hanger last year on the side of our brick house........
they also refer to them as Tapcon drill bits :D
They're called "masonry" bits, and are specially designed for concrete, brick, etc. I think they cost a little more than your standard bits, but are still pretty cheap.
I drilled 2 holes in concrete for a mail box and bought thebit at the hardware store, that was suggested for concrete.