Turn the flow all the way down and leave it there for a day, let it build a foam head. If your tank is dirty it may push it up into the collection cup anyway and if that's the case, leave it there for a bit. Most people seem to set the water line at the base of the cup, once the skimmer is broken in.
Look for a video on youtube called 'tuning a protein skimmer' by mr.saltwatertank. I'd post a link but I'm at work. :P