Pull the plastic cover off the top of the relay and you will see a bar fuse between two screw terminals. This fuse will often crack from vibration and you will not easily see the crack.

Use a voltmeter on one of the glow plugs referenced to ground and have someone turn on the ignition. If you don't see voltage at the plug, then work back to the relay and fuse. If there IS voltage at the plug, replace all the glow plugs.

Good luck,