Whitebait are not a species of fish but the immature fry of many species, depending on where they are caught. In Northern Europe, they are usually sprats, most commonly herring and have the lovely Latin name of Sprattus Sprattus!
For plain whitebait, dip them in milk and then flour and shallow or deep fry fry for about 2 minutes on a high heat, turning (very gently) now and then. Use a splatter guard if you are shallow frying!
Then, remove with a slotted spoon and serve with a simple salad, a nice chunk of bread and garlic mayonnaise. Yum!