I've always connected to battery for the +, - connections and read codes that way. But I remember I once read (then forgot) which slots they should go to. I imagine the slots would make a cleaner connection.

Didi you check the holes for the six allen bolts?... they may be stripped. Try threading them in without the cover. Working from memory, are they all the same length? You may have jumbled them.

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95 E320 Cabriolet, 169K