I'd read all the links in Whunter's post. it'll help you immeasurably with learning the car.
take your volt meter and put it on the closest glow plug to the radiator and to the bolt with the braided wire on it, and measure volts with the key just turned on. if it's 0, keep the braided lead there, and move the hot lead closer to the firewall. when you find volts, you've just passed the burned plug. remove it, and replace. if you make it all the way to the last plug before you get volts, test the squiggly line for power. if it's got none, then the last plug (first in the circuit) is bad.
IIWM (If It Were Me) I'd pull them all and upgrade to the pencil plugs. much faster, and if one goes out, the others still get power.
http://www.dieselgiant.com/mercedesdieselloopglowplugrepair.htm
also, if it's been sitting for a while, the fuel could be dry at the injection pump, or injectors.
loosen all nuts on the fuel lines, and crank over look for fuel to seep out. if it's just air, stop, and pump the bleed pump handle below the fuel filter. when it's solid fuel you can crank again and wait for all the air to bleed out of the lines.