Drilling a hole is very simple:
First start by measuring the width of the piece of wood you are drilling into, to make sure the drill bit is long enough.
Make sure you have the right type of bit. (There are different bits for drilling different types of holes.)
Mark the spot where you want to drill the hole with a pencil/marker.
Punch a small hole on the spot you marked with a hammer and nail.
Fit the drill bit into the hole.
Start drilling a low speed then increase your speed as time goes on.
Reduce the speed of the drill when your hole is made, and slowly pull the bit out. Switch the drill off when the bit is completely out of the hole. If you switch the power off while the bit is in the hole, you will not be able to remove the bit.
Here is also a video if you don't understand something and need a visual: http://www.youtube.com/watch?v=c30oo7Ks9lw