The terms 'shocks' and 'struts' are thrown around enough that they're pretty much interchangable at this point. I know somebody will disagree with me, but they do much the same thing. I think of the 'Macphearson Strut' when I think struts, and the plane-jane rear shock absorbers when i hear 'shocks.'

http://www.answers.com/topic/macpherson-strut

Unless i'm mistaken, your w124 has a Macphearson strut up front and plain shocks in the rear. You can replace the rear shocks with little trouble, I think the top nut is in the trunk under the plastic trunk liner and the bottom nut is on the A-arm (duh). Use jack-stands for any suspension job! The new shocks will probably come compressed by some wire, DON'T cut the wire! Take out the old shock by compressing it, get the new one all lined up, THEN cut the wire. And don't ask me why i'm so insistent on this...

I THINK the Macphearson struts should be changed out at a shop beause you will need to be aligned after the job, though I could be wrong. I'm not sure how long shocks/struts last per se, but I'm sure the manufacturer has a mileage recomendation. There is this thing called 'the bounce test' but in my experience shocks are pretty well shot before they fail it, i've heard this is especially the case with biltstein.

I have a pair of sports on the front of mine-very nice. They are 60k old right now and probably ripe for replacement.

If you need a step by step, but a factory CD. I hear they are cheap from benz now..20$?

cheers,
dan r.

Edit: If you're not sure how something works, nothing beats crawling under the car and checking it out...its pretty obvious when you are down there.