The system is self priming but do the following before starting:
Turn the key to the first position before start (MAR) after fitting and you should hear the fuel pump whirring. Do this about 5-10 times or more until the 'bubbling' sound stops before attempting staring the engine. If you try to start the engine before it is primed, you can get air locks which are a pain to remove. Make sure you fill up the filter with diesel before also.
The fuel filter is on the low pressure side of the system, and will prime itself. If you get air into the high pressure side, it will need to be bled. Easy on most petrol cars, but with diesels its a bit of an ass.