If you need to mount something to a wall made of sheetrock, a drywall anchor will make sure the screw stays put. In this video, you'll see 12 different kinds of anchors in action.
(I think the first three aren't supposed to be used with sheetrock. They are probably for holes in solid wood or masonry.)
How screw anchors differ.
by u/fat_old_boy in interestingasfuck
If you end up with a loose drywall anchor, here's how to fix it.