240 Ed covered it well, but I can point out something additional. The bar fuse he talked about will sometimes look good, but have a fine crack at the edge from vibration. Remove the screws and see that the fuse is solid.

If it is in good shape, use a voltmeter at that fuse to see that there is voltage at the fuse when you turn on the ignition.

Also, check continuity of the number one glow plug. It serves as a temperature sensor by its current being measured by the glow plug relay.

Also use your voltmeter to see if there is voltage on the gp's. If there is, you should replace ALL FIVE glow plugs whether they have continuity or not.

Good luck,