Ok here comes the resident handyman on this list.  I assume you mean those 
blue concrete screws that are out now.  Well, the drill bits that they sell 
for those, although a bit pricy, aren't worth a damn!  I have had them bend, 
break, and dull more times than I care to mention.  The best that I can offer 
is that you cannot apply too much pressure to these bits.
I also do not depend on this type of set up to hold much weight.  I still am 
of old school and prefer the lag and lead sheild method for any kind of 
support.  You can also get much better quality masonary bits with this type 
of set up.  If you have a lot of holes to drill, you might consider renting a 
hammer drill and get the appropriate hammer bit; it will save you a lot of 
grief.
Bob 

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