You must use a drill bit made for concrete and drill a hole just undersize of the anchor. Put in the plastic/lead anchor and gently pound it in with a light hammer. When the anchor is flush with the wall you can use a wood screw, or I guess you could use a nail if you wanted to....but a screw is much better. It must of a size to fit very snugly in the anchor, which expands as the nail goes deeperl for a really tight fit.
If you're going to hang something up at this time your done.......if you're asking so as to tighten up a stucco wall against studs of a sheeting of plywood......nails will be a bad choice. When you drive the nail in far enough to do some good, the stucco will probably crack.