Pissol,
The folks here have explained it...take a straw, with no thumb on the end, push it into a tall cup of water, then put your thump over the end and lift it out of the cup. Right now, this is your filter full of water. When you take off your thumb, the water falls out of the straw, just like when you open the valve on the top of the filter. I believe you are causing the problem if you keep opening the filter valve when the pump is off.
Here are the steps you need to take, then post back:
1. turn on pump - btw, what kind of pump do you have and what RPM's does is normally run?
2. Once the pump has run for 3-4 min's and has completely primed [no bubbles in the pump basket], open the valve on the filter till you hear a hissing sound..,
3. leave filter valve open until you see water coming out. Close valve - let pump run 15-30 sec's, then open the valve a bit until it starts hissing again or until water comes out again.. Once you repeat this till only water comes out, you have purged the filter of all its air. Turn off pump.
4. DO NOT OPEN FILTER VALVE - let it set for 5-10 mins. Then turn pump back on...and let it run for 10 min...if you see no air, you're good, if you start to see bubbles again, post back and we'll tell you what do from there...
BTW, list all your equipment and pool type as noted below in your signature, tstex