New to metal working, bear with me.

I am modifying some brackets and have found to my surprise that I can't drill holes in some of them. I am using a powerful hand power drill and HSS bits, (these ones http://www.screwfix.com/p/dewalt-3mm...ack-of-2/30294)

Are there types of steel that are impossible to drill into?

I'm drilling into 2mm stainless steel for example. And my drill barely marks it. Then I use the same tools on a 2mm sheet metal and go through easily.

What don't I know?