Although a 2006 Jetta is shown, it's the same on Audi A3 and mk6 VW Golf or Sportwagen TDI.
They all use the same parts. The replacement interval for the air filter is 40,000 miles for a TDI.
The cold climate air filter has an extra foam element (used filter pictured below). The foam helps prevent snow from wetting the paper filter. I do not suggest oiled cotton or foam air filters since the MAF sensors on VW tend to be very sensitive to contamination or oil. See 1000q: MAF FAQ for more details on how a MAF works.
air filter housing removal
5mm allen wrench
Loosen the 8x phillips screws shown below. The screws are captive so don't pull them out. Remove the MAF plug and spring clamp. The top part of the box will come off.
Remove the air filter and clean the bottom part of the box (below). Make sure the gasket on the new air filter is seated properly.
Tighten the screws to 80 inch lbs and replace the MAF plug and spring clamp. There's a spring loaded door on the bottom part, make sure it's opening normally.
Remove the 2 piece engine cover. Just pull it straight off, it's held by snaps.
Pull the top off the small box outlined in green below. There are a few clips around the edge. Then pull the "U" shaped hose straight out.
It should look like below. Also remove the 5mm allen bolt and vacuum line (yellow arrows above). The allen bolt is captive so don't pull it out. If you remove the vacuum line, use a thin screwdriver to push it out at the base while pulling it out. This will help prevent damage to the line. It's better to not disturb it at all and just flip the top part over and rest it upside down (so the inside clean part doesn't touch anything dirty).
Unplug the MAF by releasing the lock and pulling the plug off. Also remove the spring clamp connecting the MAF to the air intake "accordion hose".
Also pull the "heater hose" underneath the accordion hose. (yellow arrows below) This is the feed hose for the cold air intake bypass (if the cold air intake is blocked). It is connected to the bottom half of the airbox.
There are 2 rubber ball studs that hold the air filter housing in place. (green arrows below) Pull the housing straight up to wiggle the rubber snaps off. The battery is removed because the pic is also used in another writeup for removing the battery shelf.
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