Fuel filter is underneath the car, under the rear seat behind the passenger (US) side, next to the fuel pump.
Do a search for cold start problems using the search function near the top of the page.
The Becker radios suck and if you also search the car audio section you can find many suggestions depending on taste, price and such for replacement or refurbishing. I went with a Kenwood excelon MD. There is also a "stereo removal" page in the DIY section (see link above).
The fastlane part shop sells a detailed CD Rom for the W124, you can also get the Haynes manual for the W124.
Hope some of this helps!