If the Check Engine Light does not come on when the key is in the ON position, then your ECM Power Supply Relay is no good.
The ECM turns ON the Glow Plug Light. If the ECM is not getting Power, then the ECM can not turn ON the Glow Plug Light.
The glow plugs are not needed to start the TDi in temperatures above 44F, but the ECM is needed to make the engine run.
Thomas
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Wednesday, October 31st, 2012 AT 2:36 PM