Presumably then, there is new pipework leading from your oil tank to your boiler. Its important that this pipe is full of oil, so make sure that the tank valve is fully on, and any other valves are likewise - there is usually one inside the boiler casing. Then, if you slacken off the oil pipe that goes into the burner itself, air bubbles will come out first followed by fresh oil. Then try again for start up.
John, September 2009