I have a 220d, not a 240d, but I assume the priming pump is similar. First make sure you have adequate fuel in the tank. When the pump is in normal locked position it is turned fully clock-wise until it's well seated. Turn CCW to unlock; it should take a number of turns. On the 220d the full travel of the pump is more than an inch. You don't need to turn the large nut on the fuel filter; just unscrew the bleeder screw a little. Pump til no air is coming from around the bleeder, then screw the pump knob down all the way until it is seated. If you ran the car out of fuel it is going to take a lot of pumping. However, before bleeding the filter you need to bleed the IP. If it's similar to the 220d there will be a bleeder screw on top of the pump. You need to bleed on the downstroke, then tighten, pull pump handle out again and then open the IP bleeder and bleed on the downstroke to avoid sucking air in and out of the IP.