Oil furnaces use oil warmed on its burners to heat up an entire house. They spray oil into a small combustion chamber which is then lit up by a fire produced by the furnace. Once the oil is hot, the heat is propelled through the house by way of a furnace fan. Oil furnaces will heat automatically. There's no sticking a match into the machine to light the oil or a pilot light, but if it is not igniting, you can check a few things to make sure.
Check to make sure your machine is turned on. While an obvious step, it may prevent a needless visit from the repairman.
Check the oil tank to make sure that it is full. If the tank has no oil, then you will have to refill it before the fire will ignite.
Unplug the machine and plug it back in. If the machine does not start automatically, hit the reset button once. This should spark a fire. Only hit the button once to prevent a buildup of oil.
If none of these solutions work, you may have some issues with your oil furnace. See the Resources below for some other ways to troubleshoot your oil furnace. Call a furnace repairman if your furnace is still not lighting.