If you have the misfortune of a breakdown / engine fault - ie rough running car wont start or the orange emissions light has come on the dash etc etc , You will need to get the ECU scanned for 'Fault Codes' or DTC - 'Diagnostic trouble codes' .
All cars built since January 1, 1996 have OBD-II systems.
OBD systems give anyone access to the state of health information about your car, provided you have the tools. Basically it will point you in the direction of the fault using codes.
The MK4 OBD-II port is above the ash tray under the climatronic / heather dials, The plastic cover just pulls off :
If you have a laptop and know your way around a car then VAG COM or VCDS as it is now known (Vag Com Diagnostic System) is the the obvious choice.
The full genuine product is not cheap at over £200 but is worth its weight in gold and will easily pay for itself if you plan to keep the car. Also using a genuine lead you can do a whole host of other things with it inc live data logging - see the Ross Tech link below. http://www.gendan.co.uk/product_VCKU.html
Check out this web site for all the info about the product http://www.ross-tech.com/vag-com/vag-com-faq.html
You can get cheap copy leads for around £10 from ebay and Here
However you will only be able to read fault codes with these as you wont have the full product.
If you are not very clued up on technical things or just want something simple and easy to use get something like this http://www.talktomycar.co.uk/products/codereaders/mj002.htm
(Check out Ebay for better price
Its straight forward plug and play and comes with a booklet with most trouble codes inside.
Either option will save you loads of money now and in the future as most garages will charge anything from £15 - 40 just to scan the car and "diagnose the fault"
VW have been known to charge £100!
Also check out http://www.golfgtiforum.co.uk/index.php?board=73.0