Diesel :Pump problem?

My Jetta3 ( us97 ) Diesel dont want to start at all. The engine is cranking corectly but the fuel (diesel) is not coming in the injectors.. so I suspected the Fuel Pump. I umpluged the Diesel filter and it was empty.. I know theres no Fuel pump in the fuel tank like gasoline models. So what could be my problem? I mean there must be a pump somewhere.I alos tested all the Fuse ( including the fuel pump ) and they're all ok.

Any ideas or suggestions?

If it's still cold up there suspect water in the fuel is freezing & clogging the system.