After you start the car, does the glow plug light blink? If so, that is the car telling you that one or more glow plugs are bad. And the previous posts are correct, glow plugs are inexpensive, so if you're replacing one, I'd go ahead and do all of them to insure easy starting. If your car has paralell-wired plugs, Larry's right--the jumper test won't work on those. You could also have a blown fuse on your relay, so check that too. The relay should be bolted to the fender well, or the firewall, depending on the model...just follow the wires from the glow plugs. The first thing you come to will be the relay.
Mike