You'll probably have either a hollow plasterboard wall or a brick / concrete wall.
Tap the wall gently and you should be able to tell.You can't screw directly into walls. You must drill a hole and use a plastic plug.(see section on plug types)
Mode drills will easily penetrate plasterboard but for brick you will need a wall drill that is suitable to drill holes in brick. Ideally it should have a hammer action function which makes the job much easier on tough walls
It is crucial you use the correct plug AND screw size AND drill size. Your packet of wall plugs should tell you all this.