It's best if you follow the instructions that came with it very carefully, as all brands and models can be slightly different to set up.
Generally speaking, with an external or cannister filter, "priming" basically means running the tank water into the system ready for use in order to expel all the air in the system before switching on the pump.
Once you have the intake and output nozzles under the water line, all the tubing connected, the filter media prepared and inside the cannister and the cannister is firmly shut and all connections are secure, you allow the water to be drawn through the intake, into the cannister and then out through the output nozzle - you will see loads of air bubbles coming through for a few minutes as the air in the cannister is pushed out into the tank.
Then, depending on you particular filter, you can usually start it up. You may see air bubbles coming through for the first few hours, until all the air pockets are expelled and then it should be running fine.
Like I said, make sure you follow the instructions very carefully and it sometimes helps to have another pair of hands available to help you, as sometimes you need to cut the tubing to size etc.
Hope this helps, good luck with it!
BTW once you have primed the sytem, you may need to "top-up" your tank again