As mentioned by DA01, acid staining could be a good choice. There is just something to keep in mind with it though. Acid staining is somewhat transparent/translucent though. Is your patio free of permanent marks for example?
When my wife and I built our current come, we considered acid staining, but one of the cautions was that we needed to keep the concrete clean during the building processes. For example, some sub-contractors may like to make marks on the floor with a marker, chalk, etc. thinking it would just get covered up with tile or carpet. If it could not get cleaned up, it would show through the acid stain.
Now, considering that this is an outdoor patio, you most certainly don't have any construction marks, but you need to check and see if anything has marked the concrete since then.
If you do have marks or blemishes that would show through, and you still want to acid stain, then about your only option would be have someone put a new cream coat on the concrete. I'm not exactly sure what it is called, but my concrete sub had it done on a section of my driveway that was messed up cosmetically during the pour.
Finally, you could paint it. Just go and look for a concrete paint. Most can be tinted to any color you wish.
As an afterthought... You also need to decide what look you are looking for. Paint will give you a very consistent look, but acid stain will give a varied look--kind of mottled. Some areas will be a little lighter, some a little darker. It has to do with the way the acid reacts to the concrete. If you are not familiar with the look, just Google "acid stain concrete" and click on "Images".
Oh, by the way, the mottling is completely unpredictable, but that's part of the beauty!
No, this isn't normal. Your anchors don't fit to your screws. What is happening is that the tip of the screw reached the concrete, and, of course, you can't force a screw into concrete - not even with a drill or a electric screwdriver, and certainly not by hand.
This picture shows how anchor and screw should fit into the hole. The hole definitely needs to be longer than the screw. The screw should be a bit longer than the anchor, but not as long. Maybe the clerk saw that you have picked an wood screw and gave you anchors suited for the second situation. It doesn't hurt to use wood screws with anchors in a concrete wall, you'll just have the cap jutting out a bit. But the length of the screw should be only a bit longer than that of the anchor (the surplus should equal the length of the tip + the length of the attached thing), and your cap will stick out a bit if the thing you are attaching isn't soft enough for the cap to sink in.
The table shows how to determine the correct hole depth. It also tells you what diameter of anchor and drill to choose for a given screw. As for the length of the screw, it is determined by the weight it will have to carry. Vertical screws are more problematic than screws in walls, because gravity is pulling in the direction of the hole, not at 90° to it. Light curtains will be OK with your size screw, but don't put any molton on them.
Best Answer
You may be hitting rebar, the reinforcing steel embedded in concrete. You can buy a rebar cutter the same size as your concrete drill bit to get through the rebar then switch back to your concrete bit once through. However a great deal of caution is in order.
It's pretty hard to determine whether you're hitting a very hard bit of aggregate or steel / metal, and if it is metal, it's hard determine whether it's safe to drill that metal. In some cases, for example concrete beams, cutting the steel in the concrete can weaken the beam. It's also possible you're hitting a water pipe, waste pipe, or an electrical conduit.