Did you clean and check the pump before you fitted it? Please don't tell me that you bought a second hand tank with an old pump in it and just stuck it straight in!!!
You can check the relay and pump in one by doing as Datatek says and see what comes out when you turn the ignition. Obviously if the relay is knackered then the pump won't run so you won't get any fuel.
If you can see or smell anything like burning in the under bonnet fuse box or in any of the relay sockets in it then change it. Bad starting could soon become the very least of your problems. Please don't buy a second hand one, there are some serious Rangie owners who reckon that these should be changed after about eight years regardless of how it appears, make sure you buy a diesel one.
Anyway, it's nice to talk to a fellow diesel driver in amongst all these V8s.