You need to pull the diagnostic trouble codes. I'm not familiar with the 1995 500SL to say with any confidence that the home-built code reader at the bottom of this page will work. http://www.k6jrf.com/MB_X11.html

Jim F. says that it will work on analog cars, but maybe someone can chime in on whether the 95 was digital or analog.

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1993 400E, 256,000 miles (totaled)
1994 E420, 200,000+ miles
1995 E420, 201,000 miles

Regarding your overheating issue, you said you replaced the thermostat. If any coolant escaped from the heads when you did this, it could cause air to be trapped in the system. When the car is cold, disconnect the upper radiator hose where it connects to the radiator and pour coolant into the hose. Hold the hose up so the coolant flows into the heads. Check out the posts on "burping" your coolant system. It could be causing your problem.

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1993 400E, 256,000 miles (totaled)
1994 E420, 200,000+ miles
1995 E420, 201,000 miles

Thanks; I'll check it.

I did back the car down my steep boat ramp and ran it with the heater on.