for the brick outer walls, buy some Brown plasplugs (yellow and red ones are available but not so big and strong).
And a 6mm masonry drill
And a tube of no-more-nails or own-brand substitute
These wall plugs accept screws No 6,8,10,12 (3.5 - 5.5mm)
You will find the rectangle of plastic they come with has sample screw-size and drill size-holes in it.
I almost always use no.8 screws because they are strong enough for most things. A slightly larger screw is stronger, and will also expand the plug a bit more if it is a bit loose in the hole. The plug and screw must be long enough to penetrate at least an inch into the brick or block. Disregard any length that is in the plaster because it has no strength. Plaster is usually about 18mm thick, but can be an inch in old houses. So probably a 40mm screw if you want to hang a heavy shelf or cupboard, or a curtain rail.
Using the Hammer setting on your drill, mark and drill holes that are at least as deep as the plug or the screw. Clear the dust out of it with the hoover hose (or you can blow into the hole if you want grit in your eyes and hair). Hopefully the plug will be a snug fit. Tap it slightly below the surface of the plaster. This will reduce cracking and make it easy to fill the hole neatly when you change your mind or redecorate.
If the plug is so loose that it spins uselessly in the hole, get the small tube of no-more-nails or similar builders adhesive that you bought earlier. Stick the nozzle into the hole and fill it as you withdraw the nozzle. Poke the plasplug into the hole so it sinks into the adhesive (put a screw into the plug a couple of turns as a handle) and push it slightly below the surface. Clear up the excess. The next day, the adhesive will have hardened and you can drive the screw into it, the force will be transmitted to the wall and you have a good fixing.
Fixing to plasterboard is usually different except in a modern house where the board is dabbed onto a blockwork wall. Then drill through the board and into the block and proceed as above, except you will need a longer screw because there is an air gap.
If the plasterboard is fixed to wooden studs, identify where the studs are and drill through the board, and screw into the studs. You do not use plasplugs in timber.
If you fix anything heavy onto plasterboard itself, it might fall off one day.