Golf 3 Poor morning start

I have a mk 3 TDI which has a poor start in the morning. the glow plugs have been changed but still no difference. i tried to change the relay but it just drains the battery (is it faulty?). For the first start, it turns over without firing up. If you do this for about a minute, it eventually starts. After the first start it is fine with stop/start until the car gets cold again. Please help if you can.

First, have you checked the large (50 Amp) fuse for the glow plugs, and are you sure power is getting to them through the harness? If so then you might want to double check that you got the correct glow plugs, there are "slow" and "fast" versions that look almost identical. You used to be able to tell the fast ones (in Bosch) by having a bronze color ring right where the harness connects, the older ones were silver, but I'm not sure if thats true anymore. I have seen a few parts stores sell the old style slow plugs for newer vehicles that require the fast ones, which will cause problems as you describe. I can't remember the exact Bosch part numbers right now, but you can do a quick internet search or go to a reputable import parts store to see the difference.