Hello, I purchased 99 disco td5 with failed engine (engine started, but knocked really loud). Purchased a new td5 engine. After replacement, engine starts, but after short stutters and stahls. Also, in the gas tank, seams the pump screams very loudly. Please advise!! Thank you

Have you got the air out of the diesel lines by switching the ignition on and pump the throttle pedal to the floor more than 5 times in less than 10 secs, do this a few times. Also check the air bleed valve on the fuel filter as this sometimes gets blocked.

Yup, as V8james says, start the purge.
the pump will begin a purge cycle of 30 sec on - 5 sec off - 30 sec on - 5 sec off, while it is doing this the engine light will flash on the dash. Once the light stops flashing the book says to depress the throttle fully and crank till it starts, which is usually immediately. Not all early Td5s have this but most do.
if the fuel pump is noisy it sounds like the tank is low on fuel, starting will take another 3mins cranking of the engine as it needs to self bleed up to the injectors. The reason for it starting and cutting out is the time taken for the air in the new filter to reach the injectors.
The system is under positive pressure so you won't have any air leaks on the pick-up pipe. Keep going mate....it will start!

+1 you'll need to do that several times with new engine
btw, did you fit complete engine with injectors and everything?...if yes was it the same type? (10P, 15P)...did you save the injector codes in the ECM?