Glow plugs heat the cylinders in diesel engines to help start them. The glow plug relay uses a small amount of electrical current to close contacts to supply higher current to the plugs. If you suspect the relay is bad in your Mercedes, unless you are a mechanic, you may have difficulty finding it. Maintenance manuals for Mercedes diesel engines are hard to find. If you can find the relay and remove it, it's a standard Bosch automotive relay that you can test with two test leads and a multimeter.
Pull the relay out of its socket. It has five pins numbered 30, 85, 86, 87 and 87a.
Set up the multimeter to read ohms. Touch the test leads together to test it. It should read zero ohms.
Touch the leads across pins 85 and 86, the coil connections to the relay. The meter should read around 70 ohms. If it reads open, the coil is open and you need to replace the relay. If it reads "OK," proceed to the next step.
Connect one end of one of your test leads to pin 85 and one end of the other to pin 86. Connect the other end of one of the leads to the chassis ground of your Mercedes. Connect the other end of the other lead to the battery. The relay should operate and your should hear and feel a click.
Touch one of the multimeter leads to pin 30 and the other to pin 87. The meter should read zero ohms. If not, the contacts are not making a connection and the relay is bad.
To help find your relay, follow the wires from the glow plugs. They should all come together at one point. The relay will most likely be near that connection point.