This is an example of a typical framing of the wall you describe
The drywall covers the framing and the white areas in between.
In general, when mounting anything on the wall (other than the lightest of pictures), it is better if you can attach to a stud (one of the framing members, usually wood, but sometimes thin steel).
To find out where the studs are, you can use a stud finder.
Or you can poke a series of holes until you find where the hollow (drywall) ends and the solid (stud) begins. To poke the holes, you can use an awl or a very small drill bit.
In your particular case, figure out where you want your speakers. Then check to see if there are studs in the immediate vicinity or close. sometimes it's worth shifting an inch or three to get a solid mount.
If there are studs within reach, use wood screws to attach to the studs. If there are not, use drywall mounts.