Glows help but the engine should start without them (particularly on a warm day). The relay in the D40 should be over near the battery up against the guard. You can turn the ignition on and test the input to the glows to see if they're getting power.
Try squeezing the primer bulb a few times. How many times before it gets firm? If it's just 2-3, you've got fuel in there. If it takes more than 5-6 squeezes, you've got air in the system, probably from a leak. Keep squeezing the primer bulb some more, diesel should start coming out of the leak.
So assuming you have fuel getting to the injectors and there's no leak, have someone crank the engine a little while you watch the exhaust. Is there any air coming out of the exhaust? Diesels are "full flow" engines, they gulp large amounts of air and this has to come out of the exhaust. If there IS air, try smelling it - can you smell diesel?
If not, your injectors might not be opening at all. This may be a fault in the camshaft position sensor (used for injection timing) or the crankshaft position sensor (used for determination of rotation speed which dictates the amount of fuel injected along with the MAFS temperature data).
If the engine "sort of" fires (gives a couple of thumps and stalls) and never actually idles, your EGR might be stuck open. If you have an older model car (2011 or older) you can safely blank the EGR pipe (the gold pipe that runs around the front of the motor and connects to a valve on the front side of the intake manifold). Newer cars have a flow sensor in the EGR valve and blocking the EGR will trigger a warning light (although EGR won't be commanded during engine start or idle, but if the valve's stuck it'll choke the engine fast if it's stuck open).
