The glow plugs should stay on for a short while after the engine's started, even though the dashboard light has gone out, to even out any rough running until the engine starts to warm up.  I suspect one glow plug has gone U/S.  The engine will start easily enough on three, but you will get the rough running on the affected cylinder while the engine's cold.  However, it could simply be a dirty injector.  If you can't check the glow plugs yourself yourself, then it's not a bad idea to run the car for a couple of tanks on an advanced fuel such as Total Excellium, BP ultimate etc. before you pay a garage to start investigating.  The claims for improved performance etc may or may not be justified, but what they do have is a very good detergent additive and a couple of tankfuls will clean the whole ssytem quite effectively.  If you still have the rough cold idle afetr that, get the glow plugs checked.

Hope that helps.

Tim