Hello and welcome to Just Answer.
Bleeding can be quite tiresome. You need to undo the connections to the injectors just about half a turn and pump the manual pump until liquid fuel comes out and no air bubbles. Since the filters have been replaced this can take quite a bit of pumping.
Expect to pump for up to 10 minutes or so.
Once you have stopped pumping close off the lines and start the Tata.
Thanks Martyn. Do I open all four at the same time time, or one at a time?
That sounds like an air leak or a filter not seated properly. Did you have the key in the on position?
I've checked that the filters are seated properly.
No. key off. Must it be on while pumping?
I have just noticed that the glow plug light on the dash does not come on when I turn the key on. All my fuses are fine and relays seem to be working. I don't know which relay switch (ignition etc.) would cover the glow plug.