If your car is a US-spec model and the headlight assembly is anything like the W201 assembly, then I take it that you will need a pair of Euro-spec connectors when switching to euro headlights. I don't think the DEPOS came with them as I recall having to go to the dealership and buying them for a fairly civil price. US-spec headlight connectors have four pins whereas Euro-spec have six pins, if I'm not mistaken. Now, disclaimer, this setup is what I used for my W201 190E (it may also apply to the W124 300E):

US-spec...................Euro-spec
pin 2 (brown wire) --> goes into pin 2
pin 1 (green wire) --> goes into pin 6
pin 3 (yellow wire) --> goes into pin 5
pin 4 (white wire) --> goes into pin 4

Hope this helps.