The best advice I can give you in reguard to sharpening knives is to start out with a basic, two sided aluminum oxide stone. These are available fairly cheaply at sporting goods and hardware stores, or online. Get the biggest one you can get your hands on. IMHO, trying to use a small stone doesn't lead to satisfactory results on blades much longer than three inches. A good size to start with is a stone measuring at least 10 X 2 inches.
Next, get a bottle of automatic transmission fluid to use as honing oil. You can use dang near anything though if you don't want to mess with tranny fluid. 3 in 1 oil, WD-40, hydraulic oil, any light bodied oil will work fine. The purpose of the honing oil is to float steel particles and grit away from the edge of the blade you are sharpening. Now, this is a source of endless debate among hard core knife affectionados. Some advocate using water (indeed some ceramic stones require water), or using stones dry. I'm sure these methods will work too, so don't get too hung up on the cutting fluid. I've been using oil stones since I was about ten years old. I can sharpen a good knife to the point that it will shave hair off your arm using progressively finer stones and honing oil.
Finally, get a few cheap knives of different types to practise on. I'm thinking of the sub ten dollar varieties available at any sporting goods store. A lot of times a guy can score POS knives for free. Now, look at the angle of the edge as ground on at the factory. You want to duplicate this angle to the best of your ability.
Place several layers of newspapers on your table or workbench. Place the stone on them and make sure you are in a comfortable position where you can work freely. Apply a liberal amount of your chosen cutting fluid to the fine side of the stone and lay the knife against it while holding it at the approximate angle of the factory edge grind. In a slicing motion, push the knife away from you as if you were attempting to remove a thin slice from the stone.
* Don't use too much pressure. Keep it gentle and consistant. Too much downward pressure works against you and can be dangerous, which leads me to the next point.
* Don't try to hold the stone in your free hand. YOU WILL CUT YOURSELF EVENTUALLY. Don't ask me how I know.
Make 8-10 passes on the same side of the edge. Clean off the oil and examine the result. See where the stone has been contacting the edge bevel. If the abrasive marks you just made don't match what the factory put there pretty closely, adjust as necessary. Repeat for the other side of the edge bevel.
Sharpening a knife by hand is as much an art as it is a technical skill. A guy has to get a "feel" for it. It is actually much easier than most people think. When you buy your first stone, there will probably be a set of pictoral instructions included. These will be a good visual aid to help explain what I've been describing. The only tricks are learning to make the slicing motion steadily and at a consistant angle. This comes quickly with practise. Also, remember to not use too much pressure. Play around with it and before long you'll see results.
A guy can go crazy with different types of stones and accessories like I did over the years and be able to produce a truely wicked edge on a knife made of good steel. But, the basic method I described above is a good way to get started.