The W124 diesels don't have a manual fuel priming pump.
Most likely cause is that your new battery has been sitting in the store for some time and is discharged. Charging should bring you back into operation, I hope.
For the benefit of "next time" at least fill the new spin-on filter with diesel fuel or LubroMoly Diesel Purge which is mostly diesel fuel.
Good Luck,
Ken300D
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