Diesels rely on the turbo to force air into the combustion chamber. If there is not enough air in the combustion chamber the diesel/air ratio will be very high resulting in a lot of unburnt fuel and black some from the exhaust - and a great loss of power.

The first thing I would check would be all the hose connections to and from the turbo to the engine.
Also check the air filter if it hasn't been changed - although this would have to be significantly dirty and blocked to cause the prolems that you have.

If all the above is OK, get the turbo checked out (but this is the most expensive part to fix so check everything else first).

As for the second problem, white smoke is usually associated with water ingress into the engine. A head gasket problem can cause blue smoke if the oilway of the gasket is fractured, but most commonly a head gasket failure will cause a leak from the water way as generally there are more water way apperatures in a head gasket to leak.
I have started my diesel many times in cold weather and have not seen any white smoke - so you need to look into this further.

If you are really unlucky, your first and second problem may be related.
A blown headgasket on a turbo charged engine will cause a loss of power and very uneven running.

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'02 X5 3.0d, Auto, Topaz Blue