There are many different types of drill bits, but a basic rule of thumb is that a drill bit can't be sharpened the same way that a knife can, but a set of drill bit can be sharpened by grinding it against a grinding wheel.
A proper drill bit grinding wheel should be made from a hard, durable material such as aluminum oxide or man-made diamond. Using a hard metal grinding wheel will dull the drill bit much faster than a softer material, so the wheel should be made from a soft material.
A drill bit should be sharpened only in the direction that it spins. Sharpening a drill bit in the opposite direction that it spins will remove much more material than necessary and will leave the drill bit in a rough and uneven state.