When I'm brewing espresso on my Mr. Coffee ECM160, why does air come out?

Your grinder is the wrong type for espresso as it cannot grind fine enough. It is fine for drip however, also for spices ( not both unless you like your coffee tasting of pepper). You need a burr grinder. To make sure this is indeed your problem, buy a small amount of fresh roasted coffee from a coffee shop (not a supermarket) and have it ground by them for espresso machine (they will know what setting)