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You can either (1) glue it down with liquid nails or mastik, or (2) screw it down with concrete screws, or (3) nail it down with a special air hammer.
Nailing with the air hammer is the best way. The air hammer is very much like a gun, with .22 caliber bullet-sized charges that literally shoot the nails into the concrete through the plywood. Usually, I prefer screws over nails, especially to provide support in the in-out direction as here, but concrete is fickle to screw into and the nail gun does a fine job. You can buy one for about $60-$90 or rent one at any tool rental place.
If you plan to nail a wood floor on top of the plywood, you will need at least 3/4 inch thick plywood. If not, then any thickness will do because you do not need the wood to actually hold weight up as you would if you did not have the concrete floor and instead had joists.
Use pressure treated plywood that has tonues-and-grooves, which are made for use as subflooring and are not green like pressure-treated outdoor deck wood is.
[This message has been edited by Lawrence (edited August 18, 2001).]