As in Russell's BMW, the filter on my '97 MB C230 is near the top of the engine, and sits in a canister. I've actually added a little oil to the canister during an oil change, and it drains almost immediately into the engine. Oh, well.
The dry crank method is also something I used on my previous MB. My regular mechanic advised me to disconnect the coil-to-distributor wire, crank until the oil pressure needle began to come up, then reconnect and fire up. I can't do this on the C230; it has no distributor!
I think the above posters are right: A certain amount of oil will still be in there when you crank.
-- Paul W.