What kind of drill do I need to drive screws into like concrete ?

Why not use concrete clips

A hammer drill with a concrete bit depending on how thick the concrete is. Usually 4" thick. And let the drill do the work. Don't bear down to forcibly as you can burn the bit. And concrete bits can be sharpened.

What you're looking for is called a "masonry drill bit" you can find them just about anywhere and they'll go into any drill or an impact driver. First though you want to purchased "Brick Anchors" so you know how big of a drill bit you'll need. The brick anchors come in two parts, one that is a sheath that gets pounded into the pre drilled hole and the other is the screw that then gets screwed into the sheath.

You first would need masonry screws, and a masonry bit on your drill. But they do make masonry hangers so you don't have to be drilling into the concrete.... https://www.amazon.com/s/ref=nb_sb_noss_1?url=search-alias%3Daps&field-keywords=masonry+hangers

I've always used these with pins, you just hammer them in..... https://www.amazon.com/SZAT-Creative-Invisible-Hanging-Picture/dp/B01KV1NOGO/ref=sr_1_1?ie=UTF8&qid=1510245144&sr=8-1&keywords=masonry+hangers+with+3+pins and the resulting holes are very small and not noticeable.

Oh they also make brick hangers.... https://www.amazon.com/s/ref=nb_sb_noss?url=search-alias%3Doffice-products&field-keywords=brick+hangers just measure you brick height to select the right hanger..... no holes

Hammer Drill with Masonry bit.

You need a masonry bit that will fit your drill.

I would make sure that your drill is strong enough to do the work without burning up the motor in your drill. Small drills are made for light work, make sure it is a more heavy duty drill.

Use a masonry bit with a drill. No need for a hammer drill. Just drill into the mortar joints and use plastic masonry anchors. Standard bit size is 1/4".

Won't drilling into the mortar damage the exterior and leave it open to insect invasion?

You need to use a hammer drill with masonry bits. You might want to predrill the holes first. Also make sure you get the right size bit to fit the screws.