My favorite places to buy parts are
www.PelicanParts.com and
www.AutoHausAZ.com. An oil filter kit is somewhere in the $5 - $7 range.
If you have an M44 engine (1996 and newer), you'll need a special tool to get the oil filter cap off. It doesn't have that long bolt going through the entire assembly.
Here's a thread about the cap tool. I have the aluminum one straight from the Mercedes dealer. Part # 103 589 0209 00. I had a plastic one, but it didn't work well. I'd avoid the plastic ones, but you can probably get the job done with it.