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If you ran out of oil you do need to purge the air from the oil line. To do this you need a 3/8" (typically) open end wrench, a small container to catch the oil and a small piece of 1/4" od rubber tubing (the tubing isn't vital it just makes it a little easier). Locate the bleed fitting on the oil pump (on the left side of the oil burner where the oil line connects) it has a hex with a small hose barb protruding. Position your container directly below it. Loosen the hex. You will get a little oil and maybe a few bubbles. Now hit the reset button on the burner and let it run until its a steady stream of oil (no bubbles). Tighten the hex back up and you're done. You may need to hit the reset more than once. If your ignition control (the device with the reset button on the burner) is a R7184 then the control will go into a hard lockout if you push the reset more than twice. You need to hold the button down for at least 30 seconds to release the lockout.
I think I need to call a service tech.