Rich is right, but keep in mind something is better than nothing, unless your drilling sheetmetal which really doesn't require anything, the #1 purpose of a cutting fluid is to keep the bit cool, if you get a bit hot, you can basically kiss it goodby, so if you don't have a proper cutting oil then use WD40 or engine oil or whatever kind of oil you have.
If your just doing basic steal drilling on a drill press then just get yourself a can of cutting oil from the hardware or automotive store and it will serve most of your cutting/drilling needs, look for one that sticks, normally if it is a sticky oil they will advertise it as such, they stick to the bit and really make it work better than the oils that just run off.
If your going to be drilling exotic metals then that is a different ball game.
welder19