I would imagine there is an air lock in the oil supply pipe from the tank and your system has to be bled....I've no idea what sort of system you have but generally there is a flexible pipe that connects the oil burner to the supply line - maybe via a valve. Anyway, what we would normally do is to turn the oil off at the tank, then undo the flexible pipe at the burner. Then get someone to turn on the oil supply while you collect the oil in a bottle or similar, until the air is bled out of the system. The flexy pipe is then fixed back and you're away.
John
July 2009