Use a masonry bit and a hammer drill if possible.You may be able to use a regular drill with a sharp masonry bit and some effort. Drill into the mortar area between the brick. In the concrete area you can drill anywhere. Use tapcon concrete screws or red head brand anchors with stainless screws.
Fasten jambs and install door.Take your time.Take very good measurements.If opening is correct size for door plus jambs should be able to use pre-hung door.If opening is a little too wide you can always use cedar shims or even filler strips.Much more effort will be required if opening is too narrow.