Take it to the dealer, you do NOT want to try this and get air in the fuel line.
I think the above is the lamest non-answer that you could give! I've changed out the fuel filter twice in my 2000 jetta TDI both times it has been a fairly straightforward process, I'm not a mechanic just a dude, so if you mess your car up form following these directions sorry! sucks for you! But here's how I did it.
1) open the drivers side door pull the hood release.
2) lift up the hood, ideally your car has been off for a few hours so it's not too hot under tehre.
3) look to your left there's a cylander with four hoses coming in and out of it. (two in, two out)
4) pull the Mickey Mouse looking pin from the two hoses that are in the back. the little circular thing should pop out with a little bit of effort.
5) look inside the fuel filter, doesn't it look gross? Aren't you glad your changing it? (most of the time it's going to look gross even if it's in good shape
6) Pull the squeeze clamps back from the other two hoses (the front two)
7) carefully pull those hoses away from the fuel filter (they both will probably have a little gas in them)
8) unscrew the Phillips screw to the right of the few filter and remove the fuel filter'
From here you can try just draining the water from the filter and seeing if that solves your problem or you can replace the fuel filter.
9) the most important thing is to remember to put some diesel inside the fuel filter before you start your car other wise it'll be alot more difficult to start.
10) put everything back in place and start your car.
You'll probably have a little difficulty at first (I have) but if you just keep cranking it (don't be afraid diesels are tough!) the car should start in less then 2 minutes. Obviously use common sense here but it shouldn't be too bad.
P.S. I don't think getting air in your fuel line is an issue, Yes you probably will get some air in your fuel line but the issue is really if you have perpetual air in your fuel line, which would suck, however any air that you get will be flushed out. I could be wrong on this but I think the issue is not a huge one.
For full instructions on how to change the fuel filter on a 2005 VW Jetta, check out the related link.
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Go here for pictures and a good description on how to do the work yourself. http://nofreerides.blogspot.com/2006/07/20055-a5-jetta-tdi-fuel-filter-change.html
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http://www.mikefordmustang.com/writeups/fuelfilter/how-to-change-fuel-filter-mustang.php
The fuel filter is underneath the car on the right hand side by the back door. It is real simple to change and easy to access it.
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You will need to drain the fuel from your 2000 Chevrolet Blazer fuel tank. Remove the fuel line from the fuel tank. Remove the fuel filter retaining plate. Remove the fuel filter. Reverse the process to install the new fuel filter.