Mounting items to a brick wall requires different tools and equipment than if you wanted to mount something on drywall. Because of the density of the brick, and the difficulty to repair it if you make a mistake, take your time when mounting items on a brick wall.
Turn your drill onto its fastest setting. Faster speeds help you obtain the power necessary so you can drill into the brick.
Drill a pilot hole. Many name-brand concrete screws come with a specially designed drill bit inside the concrete screws package. That helps ensure the pilot hole you drill is the exact size it needs to be.
Insert the concrete screw in the pilot hole using your drill.
Drill a pilot hole that's approximately the same size as your masonry anchor.
Hammer your masonry anchor in the pilot hole you drilled. Hammer it in until the lip on the end is flush against the brick wall.
Add a screw to the middle of the masonry anchor by drilling it in. Use only the screws designed for use with that masonry anchor, because using a screw that's too big could damage the masonry anchor, and using a screw that's too small may not provide the support you need.