Since you asked: the drills are for Intraosseous infusion (IO) to send blood and/or medication directly into the patient’s bone marrow. Much faster than finding a blood vessel for an IV line in a crisis like the one depicted. The bone itself is used to keep the site stable and non-collapsible. Optimal sites are where the bone is closest to the surface: proximal tibia, anterior femur, on this show they're using the proximal humerus for visibility.
DISCLAIMER: I AM NOT A DOCTOR. I JUST LIKE WATCHING MEDICAL SHOWS AND LEARNING ABOUT THINGS.