Did you prime the pump when you first turned it on? If not, that's probably the source of your air. Turn it off, let the pump drain, prime it and turn it back on.
All the chemicals you need are at the local Wal-Mart. You need 20 Mule Team Borax, baking soda (in the big bag), liquid chlorine (in the garden department, Pool Essentials liquid shock) and stabilizer (also in the garden section). You don't need a pool store for that.