When to do it:
If the top part of the radiator is cold, while the bottom is warm, this is because air is trapped in the system (which should be filled with water). Bleeding the radiator releases this air and allows hot water to fill the whole system.
If the whole radiator is cold, check that the radiator valve is turned up. If more than one radiator is cold, the whole system may need to be checked by a heating engineer.
Turn off the heating system before bleeding; otherwise the pump might draw more air into the system. You will need a special radiator key, available from most DIY and hardware shops. You will also need a rag or cloth and a bucket or bowl.
How to bleed:
The bleed valve is the smallest square nut at the top end of the radiator. Place the key over the valve and hold the cloth around it to catch any water. Gently turn the key anti-clockwise until you hear a hiss – this is the air being released. When water starts to come through, turn the key back clockwise to shut the valve off.
DO NOT unscrew the valve completely as the plug will come out.