I want to turn my basement in to a big cat room but my walls are cement walls. what is the best way to install shelf on that type of wall?

There are drill bits for cement, and wall anchors to insert into the holes that you can then screw into normally (much like drywall anchors), and also cement screws that avoid those extra steps: http://www.popularmechanics.com/home/...

You might also just consider free-standing shelves and avoid the hassle altogether,