Warmup Needed x2. When it's really cold, you have a few things working against you. The oil is thick and there's not enough heat in the cylinders to adequately vaporize the fuel.

Remember that in a diesel, the fuel is combusted by the heat of compression, but before it can combust it needs to vaporize. When it's REALLY cold out, adequate vaporization of the fuel in the prechamber can take a couple of minutes since the brutally cold air charge is working against the heating done by compression and the previous combustion event.

The oil being thick works against you too. Not only does it resist movement in the engine, but it prevents the turbocharger spooling easily. Adding insult to injury, if it's cold enough the fuel itself can begin waxing or gelling.

Try letting it warm up for a few minutes before taking off when it's really cold like that. It's easier on the engine and easier on your patience too.

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Current stable:
1995 E320 157K (Nancy)
1983 500SL 125K (SLoL)

Gone but not forgotten:
1986 300SDL (RIP)
1991 350SD
1991 560SEL
1990 560SEL
1986 500SEL Euro (Rusted to nothing at 47K!)

Gone and wanting to forget:
1985 524TD 167K (TotalDumpster™) [Definitely NOT a Benz]