Well, on a diesel, there shouldn't be any noise, but, simple things you can do to find the problem.
Turn the radio on, a clear AM station.
Now turn your ignition key on, but do not start the engine. (The fuel pump should prime for a second or two) Does it whine for a second or two? If it does, then it's the fuel pump (Or one of them, depending if there id a high pressure and a low pressure pump)
Ok, no whine? Start the engine. Now, at idle, does it whine? If it does, rev the engine to 1,500rpm. Does the whine go up in pitch? If it does, then turn on your headlights, put the high beam on, put your foot on the brake and turn the rear demister on. Does the whine get louder? If so, then it's your alternator or battery connection. (Could be a bad earth, bushes are stuck, or the rectifier pack is shot) Check the connections to the battery, take them off, clean them, then reapply connections back on the battery.
Ok, if the whine does not increase in pitch and loudness with electrical load, then I would look at anything else electrical (Like heater fan. Turn the heater fan off, then on) does this make a difference? If so, then it's the heater fan.
If you have tried all of these and it doesn't resolve itself to what has been described, then try this as a last resort, hop out of your vehicle while it is running, walk to the back, and place your hand on the antenna. Grip it hard. Does the whine die down or increases dramatically? If it does, then there is an earthing problem with your antenna/stereo. (If an antenna earths out to the vehicle body, it can induce a whine like sound on AM)
If all else fails, take it back to your dealer.
