from what I have read so far, 109 relay's are found an older model TDI?
Correct, your car doesn't have a relay 109. None did after 2003. It was a common failure point which was fixed but it's possible your car is still having a relay problem.
And FYI, the FAQ linked to on the other site was last updated in 2003...his car is 2 major changes newer than when it was last updated (2004,2005.5) so some of the information there can be misleading such as checking the fuel filter T or injection pump, or the fact that each GP on his car has a separate wire instead of all running off the same wire.
Burning rubber smell could be an electrical problem. Does your car have any mods?
Some possibilities are the lift pump in the fuel tank not working (electric fuel pump) - can you hear the pump prime when you go to start the car?
Does the glow plug light on the dash board light up as intended?
If you had a code reader it would help to figure out what the problem is.
Did you leave a tool in the engine bay which damaged the wire harness? Maybe something got moved and shorted out? Check for cracks in the wire harness.
Check the wire harness going into the head on the driver's side. It runs the injectors.
It shouldn't cause it, but does your door wire harness have any cracks?
http://www.myturbodiesel.com/1000q/a5/wiring-harness-vw-jetta-repair.htm Maybe the alarm is preventing the car from starting. I don't know if it will prevent starting but allow cranking because the anti theft system is built into the central electric module.
This may sound strange, but if you leave the car on and let it sit there for a while, does it make any difference? Changing the battery or adding oil shouldn't cause any problems. And because it won't start at all, it's not the immobilizer system.