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Installing window treatments or anything else for that matter on masonry walls present a much different challenge than a normal installation. Masonry walls come in three forms but for our purpose they can be discussed in two groups.
Plaster or stucco applied to a masonry surface or the bare surface itself. You can successfully install items on this type of wall using any of the old tried and true methods like lead anchors, dowels inserted into drilled holes, the newer, straight, (not tapered) plastic plugs, etcetera. Simply drill the proper sized hole and then insert the anchor. All of the mentioned ones work about equally well.
Wallboard or paneling applied to furring strips attached to masonry. If you aren't lucky enough to pick a spot where there is a furring strip, this can be the hardest to properly install. There is only 3/4 of inch from the back of the drywall or paneling to the masonry. Not enough room for a toggle or a molly.
A plastic plug made for drywall just does not have the holding power. Even the new non-fluted plugs don't work well in this situation because of the 3/4" of space behind the drywall. They tend to pull out of the masonry long before your item is secured.
For this type of installation the only masonry anchor that I use and recommend is the hex head Tapcon™ screw. It works equally well for either of the above as long as you have the proper length. You drill a hole using a properly sized masonry bit and the hardened screw cuts threads in the masonry surface. It works best in concrete and block. It doesn't work quite as well in some of the hard fired brick. You should select a screw long enough penetrate at least one inch into the masonry. So your typical furred out wall would require at least a 2 1/2" screw.
I stock 1", 2" and 3" ones on the truck though I rarely use the 3" ones.
Another bad situation that you might encounter that involves masonry is in and old "brick house" where there is rotten mortar or even crumbling brick. When even a 3" Tapcon can not find a bite sometimes you have to think outside the box. More than once in the last 20 years I have been forced to go to the yard and find a fallen stick that I could cut and whittle down. Then I pounded that stick into the hole in the wall to attach a drapery bracket. Essentially what I did was make a custom sized dowel to fit the hole and then run my screw into the dowel.
Of course if your whittling ability is limited they sell dowels in a lot of different sizes in the local hardware store. That presumes you aren't out in the boonies where most of those old houses seem to be located.
This article or portions of this article were previously published in a significantly different form on two websites owned by the author, window-wizard.net and lexkyweb.com/windows. Those articles are no longer available at those locations. Copyright is renewed with this revised publication (01-31-2010).