When fixing to metal sheet, drill holes into the metal and use special self-tapping screws which cut their own thread in the prepared holes.
An alternative to screws is the pop rivet, used with a pair of riveting pliers.
For fixing items such as wing mirrors on car bodies, there are special fixing devices called Rawl nuts. When inserted in a hole in the metal, the rubber body of the device expands behind the metal as the bolt is tightened, producing a cushioned and watertight fixing.