Some aluminum rims are clear coated. If your are, using any type of polishing compound will remove it and be a lot of work. Using one of the wheel cleaning products from the auto parts store is about as good as you can do.
If you really want to polish and clear coat isn't used, Mothers makes a very good polish and using their polishing ball in a drill really helps. This is what I use on my Vette wheels.
I believe you can Google it and get several step-by-step sites.