While looking under the hood the fuel filter (aka: your sediment bowl reference) is on the left. This filter should be changed every 20,000 miles, or more often if you suspect fuel contamination. Although I've never detected water in my fuel, at the bottom of the filter is a drain that can be check more frequently than the recommended change interval. (if water is detected when inspecting do it more often until no water is found)

Don't forget to fill the fuel filter with Diesel fuel.  This way, the IP instantly pumps Diesel fuel to the injectors not air.  So there's   no fuel starvation, wear and tear.  Engine will start instantly 

http://forums.tdiclub.com/showthread.php?t=118807&page=2

Excellent advice. Fill the filter either with a funnel and pouring fuel into the T-fitting opening prior to putting in the new filter, or use a MityVac or Oil Extraction pump to pull fuel from the tank through the newly installed filter.