First off establish if the oil is actually turned on out the tank outlet. Also be sure to check any fire protection devices installed to ensure they are not activated. If there is a tiger loop check if this is filling with oil as well. Remember work from the tank all the way back to the boiler ensuring you have oil through the feed.
If all looks good then most simple way is to simply remove the front cover of boiler and identify where the oil line comes in to the appliance and connects to the pump.
With the appliance turned off arm yourself with a small tray to fit underneath and gently crack open very slightly the oil inlet connection and bleed as necessary, you haven't got to wind it right open, just enough to start to let the air out gently.
Patience is the key, I have had some awful call outs to oil lines either air locked or blocked. The key is to work from the tank back to your boiler where ever you can.
Phil Bowen
January 2012