This is most likely glow plug related. Start your troubleshooting by following Jims suggestions and pump the primer until you hear a hissing at the top of the main fuel filter, then push the pump down and turn clockwise until it is snug.
Then, loosen a line at an injector about one turn and have an assistant run the starter motor while you observe the injector fitting. Fuel should come out whenever the starter is turning over the motor. If fuel does come out, retighten the fitting and turn you attention to the glow plug system. If fuel does not come out, make sure you indeed have fuel getting to the pump and have bled the system thoroughly.
Once you turn to the glowplug system, put a voltmeter on one of the glow plugs and turn on the key. If there is voltage on the glow plug, then replace the glow plug. If there is no voltage at the glow plug, check the bar shaped fuse in the glow plug relay on the drivers side wheel well. Loosen both screws and look at the ends of the fuse. They will sometimes vibrate in half, but appear to be okay.