If it's concrete, you must use a plastic masonry anchor - not the same as those for drywall - that will accept the same size screw as that of the hook you're using. The proper type of anchor for this is a Red Dog (I believe that's the brand name) #8 (3/16" hole) or #12 (1/4" or 5/16" hole) and you can find them at any HD. The screw threads cut through the collar of the anchor, bulge out the three section side and then engage the anchor's end deep in the hole. As you continue to tighten, the end and the three sides begins to spiral and knot up, making the anchor and screw extremely secure in the drilled hole.
Edit: The brand name I was referring to is Red Head, not Red Dog.