There are 2 things I would add to the excellent run down given by Dieseldaddy. First have a roll of paper towels on hand. Bunch up a few sheets and place them below the filters to catch the diesel that will be coming out of them, especially the spin on filter. Also, I would wear some latex or vinyl gloves to protect your hands.

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1999 MB SL500 (110,000 mi)
2004 Volvo V70 2.5T (220,000 mi)
2014 Tesla Model S 85 (136,000 mi)
MBCA member