Thanks for all the advice, I went back to mitsubishi and they disabled the EGR system and said that they too suspected an injector pump fault but to drive it for a while and see how it went. Anyway, the car was no diferent, it still had rough idling and poor starting.
So I took the car to a diesel turbo/injector specialist who were evry helpful. They checked lots of stuff, engine compression was OK, feeding fuel direct to the pump and the fault was still evident. They also corrected sticking injectors, checked the new glow plugs were getting power and fitted a new seal on the end of the pump.
After all this they finally concluded that it was a faulty governor in the injector pump and suggested replacing this. Incidentally, they have fixed the cold start problem so now I just have rough idling.
They say that fixing the pump will likely cost atleast NZ$2000 and they will have to send abroad for the part because it isn't the same as NZ models. I am now thinking that I should get Mitsubishi to quote for a whole new pump and see if this is a similar cost.
I pray that if I pay NZ$2000 for a new/fixed pump that this will fix the problem as I am beginning to think that I will never get to the end of this! Any Ideas?