What drill and screws should I use to attach security bar to a concrete wall
If you had one of those drills with a hammer setting rather than an actual hammer drill then that would explain it.

Like this one.

You need an SDS hammer drill like this.

Before you buy one just for a small project, see if there is a place to rent one near you. In the US, Menard's rents tools for small projects. Most rental places have them. You may have to buy a drill bit.

Then use anchors like TapCons for concrete like these.

Good luck with your project!