How do I install an interior door in a basement when one of the walls is cement?

More info would be good here are there wood jambs there and this is a replacement door?
Or is it just and opening and how big is that and how wide is the door?
To mount wood against use Tap Cons concrete screws. Here's a site to help you. These screws in in all big box stores.

Tapcon Concrete Screw Pricing - Concrete Fasteners.com (http://www.concretefasteners.com/anchors-fasteners/tapcon-screw/pricing.aspx?gclid=COHmjLCOipgCFQKHxwodXTNQlQ)

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It's hard to tell without the dimensions of the door opening and what's around the opening. I just finished hanging 15 interior doors in my house. If all you have is the rough opening, I'd fasten a 2x4 to the concrete wall. It will give you the room you need for shims and possibly the door molding... don't forget to leave room for the molding if you ever plan on finishing the room.