As others have said drilling a pilot hole into the steel, preferably with a new/sharp high speed steel drill bit, and then using a decent hard screw to cut a thread into the steel will give you a very strong fixing. Generally the pilot hole should be 1mm smaller than the screw shank going into it, i.e. for a no.8 screw (which has a 4mm shank) a 3mm is drill is correct. Small diameter drills have a habit of breaking when going into steel, if the 3mm keeps breaking use a 4mm and a no 10 screw. Self tappers per se are not really necessary, quality screws will cut their own thread in steel but do it a little bit in, then reverse to clear the swarf, and then in again, and keep repeating until you're through. A bit of oil on the screw would help too. Are you sure It's a steel lintel you're going into? It would take quite a while to get through an RSJ. If you have metal studwork/plasterboard all that's needed into the thin metal is a dry lining screw, no drill, or metal plasterboard fixing into the board.