The Rover specified service/oil change interval for the L series diesel was 12000 miles. I certainly wouldn't leave it longer than that, and a more frequent change will almost certainly be beneficial especially if you are using the car on track.
I would also get some coolant into the system sooner rather than later - just plain water will lead to corrosion in a cast steel block, as well as to the radiator which in turn will lead to blockages and general system inefficiency long term.
Change interval for the PG1 gearbox oil was specified at 108000 miles for the diesel engined 25/ZR, and the PG1 has proved a little fussy regarding oil (Rover tried various oils and change regimes during the 1990s before settling on using MTF94 which is a long life 75W80 gearbox oil). I would stick with the same oil - I doubt that you would see much if any benefit from using something different, and may well significantly shorten the life of the box in the process.
You should find most of the advice/tips for carrying out the necessary jobs in one or more of the linked threads listed within the
25/200/ZR/SW "How To" Guides and other sticky type threads which is posted as a 'sticky' near the top of this section of the forum.
