The brake fluid reservoir supplies fluid to the master cylinder.
When you press the pedal, the master cylinder pumps the fluid through the lines to the caliper.
The pistons in the caliper are forced partly out of their holes, and against the pads, by the pressure of the fluid pumped in behind them.
Here's a VERY simplified picture from the web...
The caliper you installed is empty.
There's only a little bit of air behind the pistons.
Air compresses easily, fluid doesn't.
You need to replace all the air with brake fluid.
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Keep the reservoir full of brake fluid at all times!
Attach a hose to the bleeder (clear plastic is best, so you can see what's happening), and stick the other end in something to catch the mess. No hose? Hope you have lots of towels!
Open the bleeder on the caliper.
A mix of fluid and air bubbles will come out for a while.
You need to wait until there are no more bubbles.
That's "gravity" bleeding.
Some people will have vacuum bleeders that attach to the caliper and suck the fluid and bubbles out.
Some will have a pressure bleeder that attaches to the reservoir and pushes fluid through.
Some have a friend who can sit in the car and press the brake pedal for them. Close bleeder, friend holds pressure on pedal, open bleeder, "whoosh" fluid comes out, close bleeder, foot off pedal. Repeat until no more bubbles.