Make sure that you filled the spin on filter as much as you could. If not, take it off (or at least take out the bolt and pour it in that way) and make sure it is full.
Then, which some might say isn't necessary but it's easy and helped me, unscrew 1 or 2 injector lines at the injector, and crank a little bit, then go check if fuel has come out. Once you see some fuel, screw them back on and do the same with one or two more. By this point it should start right up, if not after at least 10 cranks.
IIRC, the lines come off with a 12mm wrench, but I could be wrong.
Good luck! My first time was a PITA too

__________________
Dan
2005 E320 CDI - 246k
1987 300SDL TD05-16g, Herlevi pump, Elbe manifold, 2.47 LSD - 213k
Past: 1987 300D - 264k