It is possible to use the concrete wall to attach the frame to. You can also install a stud, depending on what you feel like doing and how skilled you are. The easiest way is probably to install a stud and make a frame, which you then attach the frame to. It's easier to get the frame level when attaching, as you avoid drilling, plugging, and all that is needed with concrete. And it's easier to correct small mistakes if you have a wooden stud to attach the frame to compared to the concrete wall.