You've got trapped air in the system. Remove filter, fill to the brim with diesel and refit. Have you got a manual primer on one of the fuel lines? If so pump that a few times. If it still doesn't start, you will need to crack off each injector in turn and turn the engine over until you get all the air out and diesel is coming out.

If it still doesn't start, tow it down the road and try bump starting it, that should get it going.