The start-up process involves maintaining a pressure ratio at the inlet and outlet of a compressor (4) by means of a restrictor valve (15) on the compressor inlet side. The compressed air is directed into a pressure vessel. The inlet pressure of the compressor is reduced on the flow side of the restrictor valve. The exhaust gas system (24,8,25,5) is preheated to a temperature which is higher than the dew point of the gases containing steam before it is allowed to flow through the exhaust gas system.