First read the manual. I would check to see if you can use loose powder in it. Most likey you can. Or you may have to put a bit of pan primer in the bore with the pellets on top. Not familiar with the pellet rifle. Then, it looks like you're going to need flints, pan primer, FFFFg powder, Pyrodex or Triple 7 pellets (or loose powder), and of course bullets. You may want to try Powerbelts or a bullet/sabot combo in the 250 - 300 gr range.
When you put the flint in the c0ck, adjust it so it is square with the frizzen and about 1/16" away from it when at 1/2 c0ck.