I bought some masonry water sealer from B&Q, there own brand. I cleaned all masonry first then I applied the sealer, but a lot of the brickwork has turned into a milky color after it dried out. Making the house look as if its covered in dust. Is there anyway I can remove this from the brick or maybe if I applied a another sealer which has a wet look finish.
I'm not familiar with this brand, but I have seen this condition in the past. Two things might have happened; there was excessive water in the brick during application or the sealer was over applied in a single coat.
Removing the milky or dusty material isn't easy. You will need to wash the brick with a mild soap/water mixture and use a nylon scrub brush. Test a small area and allow to dry. See if it looks better. This might not remove all, but could get most of it. After the brick has fully dried, try adding a coat of "wet look" sealer to the test area. This might work, but often it will make matters worse. Make sure to use the same type of sealer; silicone, acrylic, etc.
If this doesn't work, you will have to let nature do it for you. The excess sealer will break down in time and will require frequent washing.
An alternative is to use a masonry cleaner/stripper. This can be a bit dangerous as these products have acid added to them. Try the washing method first on a test area before proceeding to the cleaner.