De-airing / venting central heating
In the UK, the term I'd associate is "bleeding the radiators", and there will be a little valve at the top of each radiator to release trapped air, something a little like:



These are typically operated with a "bleed key" (the brass object resting on the fins of that radiator), or sometimes the valves are also slotted for use with a screwdriver - they typically require less than a quarter turn to operate, and you'll either hear the air hissing out, or see water dribbling through - Always have a cloth or rag held close and tight to the radiator as water will come out once the air has gone.

With regards to picking an order, every system is different, and you'll come to learn which radiator tends to fill with air first (so in my case, it's the one on my upstairs landing, next to the hot water cylinder cupboard, but in my parents house, it's the one in their downstairs hallway). As the system is new to you, it may just be a case of doing each in turn.

You should check the pressure after bleeding, especially if there was a significant amount of air trapped.