The lowdown: Before you go and get a thermostat, there is a part that is very often broken along with your broken thermostat, it is the casing (the plastic thing that holds the thermostat in place).
Again, this is my W211, and the process itself is very simple as you will see below, loosen the cold air duct in front of the engine to make room for the screws to be removed, remove a couple of screws, install, then put them back, that is all there is to it.
When i came to change my thermostat, i unscrewed the 2 screws that hold the plastic casing in place at the front of the engine, and before you know it, it dropped, i thought there would be pulling, but no, the spacer that holds the thermostat in place, and is part of the casing/pipe was broken from the word go
Before you try to pull the spacer (Plastic cylinder) from inside, you need to remove the o ring which is likely trapped between the spacer and the engine (Near the surface), once the o ring is out, the plastic cylinder will come right out.
Once you do, your thermostat might be busted, but in my case, the rubber seal was not sitting right, probably due to the broken spacer, and created a space between the thermostat and the spacer, hence the problem