Before firing the parts cannon at it, we need to know some things, like how many miles on the vehicle? The average life expectancy of injectors is 100K miles and an IP is 150K miles. Have you put a piece of clear hose on the IP return line to see if you're getting air into the fuel/IP (often times introduced in through the FFM when you replace the fuel filter - either the old gasket sticks inside unnoticed and when you install the new filter it 'double gaskets' and leaks air or the filter housing isn't replaced correctly and it leaks air into the fuel system) which would cause a No Start/dies after short running situation?
Do you have any previous diesel owner/driving experience? You MUST wait for the 'Wait to Start' (glowplugs) light to go out before cranking, otherwise it won't start.
Jumper the lift pump (driver's side frame under the door) to power it on and then check for sufficient fuel flow at the bleeder valve (T Valve on rubber hose near thermostat housing), should fill a pint jar in a few seconds.
A diesel only needs fuel and air to run. You need to first make sure you have an uninterrupted supply of fuel, without air in it, to the IP. After verifying that (never assume it all works and is ok), if you indeed cracked an injector line loose at an injector, cranked the motor over, and found no fuel at the injector, then the problem lies between the IP inlet and the IP's distribution head.
As mentioned above, CLEAN good grounds are critical on these 6.5s. Grounds on the back two passenger side intake manifold bolts/studs are critical both the terminal lugs and the bolts/nuts/washers must be clean and tight. Yes, pulling any codes from the OBD-I system is very helpful in diagnosing problems - either go to the help section on here or there are YouTube videos that show how to jumper the OBD-I ALDC plug under the dash and read the flashes of the Service Engine Soon (SES) light to get the code numbers - then report those numbers back to us - even if there are none.