Looking at your caliper winders, you should have two. One with a left hand thread, one with a right hand thread.
Most are marked R and L so you can identify which side of the car to use them on.
IIRC the right hand thread is used on the right side, but I wasn't aware the Golf calipers were sided.
Pop the cap of the fluid reservoir and pump the brake a couple of times, it should free up the piston.