Lay a level on the threshold of the rough opening. Insert wooden shims between the concrete rough opening and the level to raise up any low areas. Secure the shims in place with masonry screws.
Peel the paper backing off self-sticking flashing tape. Lay the tape over the rough opening's threshold. Extend the flashing about 3 inches up the side jambs.
Run a bead of silicone sealant around the rough opening's four edges, where the door will meet the concrete. Some concrete rough openings will have wood bordering three sides. If yours does, run the sealant along the boards.
Set the bottom corners of the door in the concrete rough opening. Push the upper corners of the door into place. Center the door in the opening and set a level on the door's hinge-side jamb and adjust it until it is plumb.
Drive a masonry nail through the hinge-side jamb, near the top and bottom corners. Remove a screw from each of the door's three hinges. Go inside and close the exterior door. Insert a wood shim next to each hinge, between the rough opening and the side jamb.
Set the level along the door's top jamb. Insert a wood shim between the top jamb and the rough opening. Set the level along the doorknob-side jamb. Adjust the jamb and insert wood shims between the jamb and rough opening at approximately the same heights as the shims behind the hinges on the hinge jamb.
Drive a 3-inch masonry screw through the empty screw hole in each hinge. Hammer masonry nails through all of the jambs and into the concrete rough opening. Space the nails approximately 16 inches apart.
Go inside and close the exterior door. Spray expanding foam into any gaps between the concrete rough opening and the door jambs.