Changed fuel filter.. no start
 

Year, model, mileage?

Check whether you have fuel pressure at the rail.

There's a Schrader valve (similar to a tire valve) at the right-side end of the rail that you can access after removing the intercooler. Remove the black plastic cap, stuff a wad of paper shop towels all around the valve, and insert a small screwdriver into the center (depressing the center stem) and see if fuel comes out under pressure, therefore releasing pressure within the system. If it does, try priming the system once again by turning the key into position 2 a couple times. Test fuel rail again. If no pressure, fuel is not reaching engine, and you'll need to recheck your connections. If pressure, you have another issue.

Are you sure you snapped fuel line back into fuel filter cap correctly?
Pushed in until you heard a positive click?

It can get rather dirty in the fuel filter area. It's possible that the connection can pick up some of that crud and not seat securely within the filter cover.

As he said above, check your gasket and connections. I recall that, when I did a fuel filter change, I thought that I had properly installed the gasket but it wouldn't start. Re-did it with success.

There is something about Mini's groovy no-return fuel supply, and closed system for emission. There are abundance of people not able to get the car started after doing the maintenance in the fuel tanks. From what I infer, the pressure regulation of fuel supply is all over the place too. There are many excellent threads over the pond on Minitorque of owners trying to redesign the fuel supply system with great expense and time.

Excellent! Glad you found the culprit!