I have done this before and it seemed pretty straightforward. The part you got from the dealer (slider) snaps apart into 2 pieces. But be careful, there are some graphite rods in there that you need. When you snap it apart, you'll have one part with the rivet in it and one just kind of flat piece of plastic.

To install, I first ground the rivet that is still attached to the window (as part of whatever remains of that half of the old window slider). Once you have ground that out, it should fall right out of the window riser (your metal dealy, I believe). Insert the new one just like your old one was, and use a hammer to peen the end of the rivet. It will be sticking through the hole with some clearance. Just hit around the edge of the rivet to turn it down enough to hold it on to the window riser. After a while, it will no longer come back out of the hole. WHen you've done that, snap the other half of the window slider onto the new one you just attached, and you're ready to reinstall it into the window channel.

It seems like an inelegant way to do this, but it's the way MB chose. The hardware store might have a rivet strike attachment that one could put right on the end of the rivet to force a better peening, but this is the way I did it and it has held for over a year at this point.

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1987 300SDL 265,000 mi.
1982 300SD 325,000 mi. (and holding)
1956 Packard Clipper 150,000 mi.