It's a good idea to prefill your new fuel filter with diesel first, this saves introducing air into the fuel system and airlocking it up.
You need a little diesel first, so:
Pull the fuel return line off the old filter, this is the pipe FROM the injectors that returns the spill off back to the filter (usually a narrower pipe than the other two)
http://i265.photobucket.com/albums/ii212/discovery007/Filter%20change/C.jpg
Bung up the port (hole) left in the old filter with one of the little rubber bungs on the new filter.
http://i265.photobucket.com/albums/ii212/discovery007/Filter change/D.jpg
Stick the end of the free return pipe in a clean, dry container and run the engine until you have around 1/2 a litre.
It's tricky, but you need to fill up the new filter with diesel through one of the holes (I use an old syringe with the plunger removed as a funnel. You can also add a dash of your favourite fuel system cleaner to the filter as this time)
Then fit the new filter, there should be no chance now of pulling air through and locking the rail or injectors.
If, on the off chance you do lock it up with air and repeated cranking won't shift it (which is doubtful as the injector return is looped back into the fuel filter)
You can use a hand pump/vacuum pump to draw fuel through via the return pipe.
or
Slacken, ever so slightly the union to the injector furthest from the pump and crank it over a little until fuel leaks out of the loose connection, tighten it and it should start ok.
(this last one needs a note attaching, the fuel rail at crank will have around 300 bar pressure of fuel in it once the air is out, so only undo it enough to allow the air to escape and flick the starter over in short bursts)