Along with the filter caps that were mentioned earlier, a lot of these German sets had a full wave selenium rectifier in a black metal can that almost always goes bad. It almost looks like a slender upright electrolytic can cap, is black, and is usually marked AEG. Replace it with a modern bridge rectifier and a dropping resistor and you should be good to go! Don't forget the filter caps either. The rectifier and the filter caps are often weak points on these sets, and if they're toast, you'll get no B+.
EDIT: Apparently the rectifier on your set looks like this:
