Vacuum iron out of the bottom of above ground pool?

I have a above ground pool that is 15' x 4ft deep, its a circle pool! Ive got well water and i used a water hose to fill up the pool. I have a water softner on the well water but its for directly to the house. So anyways i filled up the pool with well water, & of course it turned brown. So i called our local pool company and the gentle man said for me to buy a pool vacuum that attached to the pump/filter & to shock it so all the iron will sink to the bottom (leave the pump off over night so it will sink) So i done that. Then he said once it sinked to vacuum and the filter would capture it. So i vacuumed it up and the bigger maority of the iron got trapped inthe filter, but the smaller particials came back into the pool. So i shocked it again & vacuumed, still the same thing, some of it would come back into the pool. So after that didnt work for the first 3 times, we put a sock over the return (puts water back into the pool) & that captured some of the iron but not all of it. we left the sock on there for a week while the filter was running, & it settles to the bottom again.Any suggestions would be greatly appericated?