Here's the short answer. Use a diamond sharpener, a general purpose whetstone, or and oil stone.
With a diamond stone, you can just use it dry.
With a whetstone, its best to soak it in water for 5-10 minutes before you use it.
With an oil stone, use some sort of sharpening oil on the stone itself. You can also use an oilstone the same way as a whetstone by soaking it in water, but do not use oil on a whetstone.
Most stones and diamond sharpeners come with a coarse side, and a fine side. If your knife edge is already kind of sharp, and you just want to touch it up, go straight for the fine side. If your blades edge is uneven, extremely dull or has nicks in it, use the coarse edge first.
Look at the blade of your knife. You will see two bevels or angle. The first one will usually run the majority of the width of the blade, the second one with be right where the edge is. Carefully hold the blade at the same angle as the edge, apply even pressure, and use a forward and slight sweeping motion on the stone/sharpener is the same direction as if you were making a cut. Do this 5-8 times on each side, depending on how dull the edge was.
To keep a burr from forming, alternate sides after every stroke for the last 2-3 swipes. You can also use a butchers steel (like the rod found in carving knife sets) to finish off the blade, or even the top of a ceramic coffee mug if you like to hone it slightly.
This will give you a workable edge. It wont get it hair flinging sharp, but for general use it will be good enough.
An alternative to sharpening with a stone, is to use sandpaper and a flat surface. Start with something like 220 grit for the rough sharpening, and work your way up to 400, 600 and 800 even 1200 grit. This will give you a much sharper edge.