How do I drill through steel?
Ecnerwal raises a good point - I would want to know for sure what it is before drilling through it.  Metal plates are often put in around wires and pipes specifically to stop you from accidentally drilling into them - you could break electrical wires or plumbing, potentially causing a fire or a flood.

The plates work like this image shows:


The best thing to do here probably isnt applying more force - either drill somewhere else, or open up a small hole in the wall around it so you can see what you are breaking, then decide if its still a good idea.

As for what will drill through it - it depends on exactly what it is and how thick it is.  Drilling through strong thick steel requires lubricating oil so you dont overheat and damage the drill bits.  They will dull very fast without it.