There are many different fasteners and fastening systems for attaching things to concrete. What you are looking for is a balance between speed, strength and cost.
Nails driven with a hammer or with a power actuated gun work well in attaching something to a floor to keep it from sliding sideways. They are less sure in holding something on a wall. The power systems used on the show were from the Ramset Company. It is possible to drill a hole and then drive in a tight fitting concrete nail and the pull-out strength improves. Tap-Con and Tap-Grip screws are much stronger even without anchors.
Many anchors exist that are placed into a drilled hole and the fastener forces the anchor against the walls of the hole. These generally give even greater strength. It is even possible to place special concrete epoxy into a drilled hole and then simply seat in any machine screw fastening device.