First of all, I must welcome you to the wonderful Mercedes diesel club / cult. I do not know how much you know about diesels, so please don't be offended if anything I say seems obvious. Your car has glowplugs, which aid the starting process. The first thing you must do is turn the key to the "on" position, which should be two clicks to the right. Numerous dash lights will illuminate, including an orange light in your speedometer which has a little spiral graphic. This is your glowplug light. Wait until the light shuts off, then engage the starter by turning the key farther to the right as you would with a gas powered car.
Diesels are notorious for being difficult to start in cold weather. There are several ways to deal with this. First of all, after you turn your glowplugs on you can press the accelerator two or three times. You should be able to start your car then. If this is not enough, then try the forementioned process, then hold the accelerator to the floor while cranking the starter. Be careful, though, that you do not flood your engine.
If it absolutely will not start, let off the accelerator, turn the key to the off position, and wait for a moment. Return the key to the on position, wait for the glowplug light to go out, give the accelerator one push to the floor, let off the accelerator, and then try again. If it still will not start, post another message on this board and Larry Bible will likely have some good input.
Just as a side note, there is a black knob on your dashboard behind the steering column. This knob adjusts your idle. I think it may be connected to your choke, but I'm not sure. It is likely that somebody with more knowledge than I will be able to tell you. Once your car is started, you will find that this knob allows you to adjust how the engine runs.
Cheers and good luck with your car. I used to drive a 1976 300D and I loved it.
1976 300D (W115) - 330K and still going (sort of)
1991 300D 2.5 Turbo - Sold at 221K
1983 280SEL - Sold at 206K
1981 300SD - Sold at 232K