don't just turn on the pump without water running through it, it will cause heat and could melt your pump basket as well as a ton of other things.
take a large bucket of water to the pump and open the lid, slowly pour the water into the basket and allow it to fill up the pump basket and lines. once you see water settling pretty well in the basket, quickly replace the lid and click on the pump. it should grab prime and will fill up the filter.
there is more than likely an air release valve on the top of the filter, I just couldn't tell you on a sand filter. most of the water if its not released via the release valve, it'll just go into your pool return jets and bubble away.