First aid for pulmonary embolism, what to do?

Depends on severity. Very severe pe needs to be treated with clot dissolving drugs. This can be done by IV in some instances, others require that a catheter be placed into the clot to deliver the drug directly. Less severe pe can be treated by "thinning" your blood with anticoagulation drugs. This prevents more clot from forming and allows your body to dissolve the clot through nature pathways.
Oxygen, IVF. That is really the first step in treatment of pe, to oxygenate and allow blood to flow. Then treat the cause if known by either embolectomy clot lysis.