oil hot water heater

Yes, you must purge the air out the line. On the burner pump, you will find a bleeder fitting. Loosen this a couple turns, then start the burner,( make sure you have a container to catch the oil). You will see oil, and air sputter. Run until the oil runs clear, and close the fitting. It may time out before this happens, so you may have to do it more than once.

What brand of burner do you have? With a Beckett, if you tried to light this a few times, without the burner lighting, it may "latch", preventing future tries. To "unlatch" hold the button down until both lights alternately flash, then stop. It should start then.