There are several devices to do just that. One type, you drill a hole slightly oversize and put in a plastic "plug" that spreads as you put in the screw. Another type you push through a metal 'plug' that has two spring loaded 'arms' that spring out on the back side of the wall, then insert your screw. There are likely more. Hardware store will have them
Place your screw so that it is going into a stud or use plastic/metal anchors that push into a drilled hole and open up as you screw in the screw. Found at any local home improvement store or hardware store.
If it isn't in a stud, you will need to use an anchor type. It has two "wings" that expand on the other side of the sheetrock to keep it from pulling out.
Molly bolts/Toggle bolts there are other types depends how heavy the object you are hanging