Well, it's my understanding that you have to mix it with the diesel fuel. The proportions are like 10-50% vegetable oil to diesel fuel, but you can't just run straight cooking oil because the engine won't start, especially in cold climates. My God, that would stink up the whole county if it even burned alone in a diesel engine. Diesel is a whole lot less expensive than new cooking oil, so you have to find a free source for the oil. Then you have to strain out all the impurities. A French Fry will not burn in a diesel engine.
Here is an article I found that may clear up the understanding.
"The first problem is one of viscosity: vegetable oil is a lot thicker than conventional diesel fuel. This means that it has a harder time atomizing, which in turn reduces its ability to burn. One way to reduce the viscosity is to mix it with ordinary diesel fuel, and most of the diesel engines used in cars and light trucks will run quite happily on anywhere from 10% to 50% vegetable oil—poured right into the gas tank along with the diesel from the pump. Another way to thin the vegetable oil is to heat it; heating is the primary function of conversion kits you can buy to run your vehicle on vegetable oil.
But using pure vegetable oil is still problematic because the fuel sitting in your engine (and your fuel line) will be cold when you initially start your car. (This is especially true, of course, in colder climates and during the winter months.) One way of solving this problem is to use two fuel tanks—one for regular diesel and one for vegetable oil. You start your engine with regular fuel, and as it warms up, the heat is used to thin the vegetable oil. After a few minutes or so, you use a dashboard control to switch over to the vegetable oil tank. Dual-tank systems also mean that a vehicle can, if necessary, refuel at a regular gas station. Another approach is to use a special additive (which contains a small amount of petroleum); this enables the vegetable oil to flow more easily, even when cold."