Press the reset button on your Thermo Pride furnace once or twice and wait 60 seconds. The furnace should turn on and stay lit. Do not push the button any more if the furnace doesn't light; this will flood the system.
Check the fuses and the circuit breaker controlling the oil furnace.
Check the burner nozzle on the underside of the oil tank for clogging if the burner is running but not making fire. Try blowing the burner nozzle with a can of compressed air. Do not stick anything in the nozzle; this will damage it. If the nozzle is still clogged, have it replaced by a professional.
Turn off the electricity to the unit if it is running but not creating fire. Disconnect the oil hose and drain a bit of oil into a pan. Check the oil for water. If you see water, call out a service professional to check the tank for water, and to replace the oil.
Check the air filter if you have heat, but it isn't sufficient. Change the filter if it's dirty.