How do i drill in brick?

I bought a pack of Tapcon screws that came with a Masonry drill bit so i could use to drill holes in the side of my brick house. The problem is i noticed that on the first drill hole it soon melted the tip and ultimately made a very large unexpected hole opening mess. What happened? Was i suppose to be drenchiung the hole (and the drill bit) with water as i was drilling? Should i have gotten a masonry bit that was coated in titanium or something? I just cant drill holes in my brick.