Define not starting. Did the starter motor spin over? Was it fast or slow?
If it did, then next I'd look at glow plugs. Make sure they are all working properly. I know some vehicles there isn't a timer so you gotta do it manually. For around 32F, glow plug for the better part of 30 seconds (just a random guess). Colder than that, glow longer.
Also if your injection pump is timed advanced, that'll hurt your cold start capabilities. However unlesss someone has messed with it, I wouldn't fiddle with the injection pump.