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On a diesel engine if you run it out of fuel or replace a fuel system part the fuel system has to be primed.
Here are the instructions to prime the system.
Important: In order for the DURAMAX diesel fuel system to work properly, the fuel lines must be full of fuel and contain no air. If air gets into the fuel lines, it will be necessary to prime the fuel system to eliminate the air before operating the vehicle. Air could have entered the system in one of the following ways: