If swapping the glow plugs doesn't work (first thing i'd try) then locate the glow plug heater relay, take it out and swap it for a new one. that will sort the problem
Ben, November 2010
Does the glow plug light go out quickly and /or are you allowing enough time for the glow plugs to heat up.
In cold weather the light (pigtail symbol on dash diplay) may be on for 30+ seconds then try to start car.
If light goes out quickly then 1 or more glow plugs (that preheat the the combustion chamber) will need to be replaced.