For heavier things, you need Hollow Wall Anchors.
You drill the hole then hammer in the empty plug. Put the screw back in so there's just a small gap between it and the plug.
Then you use the fixing tool to pull the screw towards yourself and spread the metal legs behind the plasterboard.
After that, just unscrew the screw and use it with the now secure plug to attach whatever you want to hang to the wall.
In pictures...