The screw / bolt on top of the filter should always be tight. There is a bleeder valve on the pump.
1)open the bleeder valve while your system is on.
2)allow the air to escape, once you have a steady flow of oil quickly close this valve and your burner should start right up..
You may have to hit the reset button, but be careful not to do it to many times, as oil is still entering the burner and could result in the burner trying to burn too much oil at once.
Also see my video on changing a oil filter, this should be very help full for you..
www.askmediy.com/Heater-systems/oil-burn...your-oil-burner.html