This is for the Volkswage Passat TDI - although they only sold them in 2004 and 2005 the basics really apply to other years, other 4 cylinder engines, and even Audi A4. I have an Audi A4 and the Passat uses the same chassis and even many components/layout is the same.
The engine air filter is under a cover and can be changed by removing the filter housing. Full details are in this article:
The downpipe contains the o2 sensor (not directly used for fuel metering on TDI, it's for metering the EGR). While there are performance downpipes available, the VNT wastegate system on the diesel's turbo is pretty decent. For the same amount of time, money, and trouble I would go with a performance chip over a performance downpipe because the best that I can see, you can't remove it without lifting the engine or lowering the subframe a little due to clearance. Details are in this article: http://www.myturbodiesel.com/1000q_how_to/b5/downpipe_removal.htm