Couple of small problems with my 03 X5 3.0d
 

this has happened maybe 4 times in 4 months , when the car it cold is wont start, sounds like there is no diesel getting through. on the dash it flashes the ABS & what looks like the glow plug lights

Also when backing off the throttle sometimes, the car seems to lurch a little. any ideas

You have more than one problem with your car!
Not starting when cold ,can be related to glow plugs ,but the "lurching" ,is something else!Something in your fuel system,can be the pump,injectors or something electronic like the Rail pressure sensor!
The ABS light on...can be an ABS sensor ,which is very common to go !
First thing to do is get your car diagnosed and change that fuel filter(if it hasnt been changed lately)..then go from there....

thanks that gives me a bit to go on, i think my diesel pump may be dying. Will try the easy cheap things first though, glow plugs were replaced just before i got the car, the abs light only flashes when the car wont start as i say only happend 3-4 times but again im thinking the pump, what are the pumps like to replace ? located in tank?

thanks :)