To elaborate on what Zeitgeist said, you need to replace your glow plugs. If the light does not come on when you cycle the plugs with a cold engine, it means that one or more is not working. After the engine starts and the light comes on, this is the car cycling the plugs in a process called afterglow. This is when the glow plugs come back on once the engine is running to heat the combustion chambers more. This usually only happens when the engine is cold. It only happens on my 300D in the winter time. If this is happening all the time, it may be wise to replace your coolant temperature sensor as well.
As Zeitgeist says, replace all of your glow plugs at once. Do not just replace one or two that have failed. Also, buy quality glow plugs such as genuine Mercedes-Benz, Bosch or Beru. Don't just buy the cheapest thing on the shelf, as this can be a bit of a time consuming job, and you wont want to do it again in a few months.
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