Directly it sounds that your burner isn't actually pumping any oil - the oil pump has an electrically operated solenoid valve (usually a 3 wire connection) built into it that only opens after about 8 seconds of the burner trying to start - this is called the purge time. If oil is being sprayed you should see a wet area on the wall directly in front of the nozzle. I assume that your electrodes are sparking of course!
John
March 2008