The most important things are to not let the master cylinder resevior go empty and not let air back up into the bleeder screw.

How did you get air in the lines? Knowing that can help determine where you need to bleed the brakes from.

If you know it is close to the caliper or wheel cylinder then bleeding that one line should work. If you have a friend help you, have your or your friend put a little bit of pressure on the brake pedal as you unscrew the bleeder screw. When the pedal is pushed about halfway down close the bleeder screw and release the pedal. Repeat this process until the pedal feels nice and hard with the engine turned off.

Don't let the resevior become empty or you'll have to bleed the master cylinder and all the lines which is a pain. Also, don't push the pedal all the way down or you risk damaging the secondary piston seal in the master cylinder.