As you have run out of oil, the system needs to be bled to get rid of any air bubbles....you have to disconnect the fuel feed pipe to the pump ( there should be a tap in there somewhere to simplify things) so turn it off, undo the flexible pipe that feeds oil to the burner, turn the tap on again and allow a couple of litres of oil to come through, then reconnect. If your luck is in, your boiler should now start up - but there is another bleed nipple on the pump itself which should be opened when the burner is trying to run.
John
April 2008