Did you try pushing the rest button on the furance. its normally red in color. You may have to hold in in for a couple seconds. try this a half a dozen times until you get the air out of the line. If it still doesnt start, you will have to prime the pump
If you are talking about an oil charged furnace, there are normaly instructions on the injector motor or control housing that give you brand specific instructions. If these have been removed, then the next best ting is to ask the fuel delivery driver to prime it for you. They are trained in many types of furnaces and could fix you up in no time. If you must do it your self, there is a "bleeder" that looks like a simple bolt, usualy a small one that when loosened, will allow fuel to leak out. In some applications, it may resemble an air inlet like on a tire valvestem and some have a tumbwheel that opens and closes the valve. Make sure you have a coffee can or something that can collect the drain off fuel. Locate the emergency shut-off valve so you know where its at. Most systems have two. one located far away from the furnace for safty, and one right at the furnace. Locate the control box. It is normaly located with in close proximity to the pump motor. (it will be the only box with wires going into it) On the control box, you should see a small "reset button" it may be labled "primer" Loosen the "bleeder" and press the reset button. (The pump will start, so be prepared. It may startle you!) Some require you to hold the reset down while others just need to be presses once. (you can test this to determine which one you have by simply pressing and depressing to see if it stays running) Now, while its running, keep an eye on the bleeder. You will see a little oil seeping out and a pop or two from air escaping, maybe even a few bubbles. (At this point, all you are trying to do is allow the oil in the tank to replace the air in the line. ) Now depending on the distance from the tank to the furnace will determoine how fast the oil fills the line. It may do it quickly (one reset cycle) or it may take a few minutes. If your line is say, 25 feet long, then the pump may shut off after 5 minutes. (a safty installed into the system so you don't burn out the motor and pump impelers. The oil acts as a lubricant for the pump parts.) If you are still getting nothing or seeping with pops and bubbles, repress the reset again. (you may have to wait 5 minutes for the restet to work. another safty) Now, after the wait, reset and watch the oil drip. You want a steady hard stream of oil out of the bleeder. Now, another thing to watch, or listen for is that the reset, under normal use, starts the ignitor too. if there is substancial pressure at the injector, the furnace will start to burn. In this case, shut the bleeder, you are done. Stay there for a few minuts just incase it was a fluke. It may stop if there was a short burst of fuel, and air followed it. I am sure by now, you get the idea. If the furnace doesn't start after three resets, call the repair man.
If this doesnt work it mean that your filter or nozzles are clogged with sediment from the bottom of the tank and needs to be replaced/cleaned by a proffessional.
Goood luck