Yeah, I've been getting to do plenty of this lately.
A lot of people don't know how to do this when they first move out or in to a house with oil heating after they've used gas or electric all their lives...
Step 1: To the Boiler...
You'll need either a small spanner or Allen key, in my case it's an Allen key.
There'll be a red button, often lit up on the front. Make sure the heating system is in the "on" cycle and press the button, the boiler will start doing things and trying to fire up.
Don't be too disappointed, it's very rare for you to get lucky but it has happened to me and it seems to help get the fuel moving a little bit.
Step 2: Bleed the Line.
Fuel will begin to dribble out along with air, let it dribble until it's at a steady rate of flow.
Screw the plug back in but not completely tight, just in until it stops dripping, press the button and cross your fingers.
It didn't fire? No worries repeat the bleeding process again, it can take up to ten goes. If you do find it always takes a huge number of turns to start again you may need to replace the in line filter.
Step 3: Starting Up?
Depending on your boiler you'll need to figure out if your bleed plug has to be fully tightened or just left tight-ish. On most of the boilers from houses we've lived in its been that you don't leave it dead tight but in this one you have to tighten it all the way or the boiler slowly takes in little bubbles of air and eventually dies.
Basically the easiest way of telling is to fire it up with the bleed plug almost fully tight, if it coughs and dies after a while press the button, let it run for five minutes and then tighten fully.