Check at the tank filter - there could be 1 or 2 bleed screws there. Next, find the flexible pipe that delivers oil to the pump - undo it and let oil flow through until there are no more air bubbles. Often this is enough to get things going again but the pump itself will have a bleed valve which you open to allow any remaining air to escape. (The burner usually has to be running for this). Various types - depends on the make of pump.
John
February 2008