No quite correct. Audi dealers use a computer system called VAS 5051 to diagnose faults and set up modules etc on all Audis.
VAG-COM is a piece of software written by a company called Ross-Tech in the US. They basically sell you a cable to suit you car and your can download the software for free from their website. The cable acts as a dongle for the software so although the cable may seem expensive for just a cable it also includes the cost of the software.
Anything that can be done using VAG-COM can also be done by a dealer using their VAS 5051 system as well, but of course dealers will charge you for doing so.
The current 8P version of the A3 requires either a HEX-CAN-USB cable or a Micro-CAN cable. The Micro-CAN cable is around $100 cheaper but can only be used on VAG cars based on the Golf 5 chassis, which includes the A3. The HEX-CAN-USB cable can be used on most Audis including the A3.
For more details of VAG-COM see
www.Ross-Tech.com
It is a useful piece of software that allows you to change the settings on some of the control modules on the A3 such as selective locking, auto-locking at 15mph, changing xenon headlights for european driving and many more. There are a number of websites that give details of the codes and how to change them including a section of Wiki run by Ross-Tech. The guys at Ross-Tech also look in at the VAG-COM forums on ASN and other sites and try to answer any questions that arise.
I have personally just purchased a Micro-CAN cable direct from Ross-Tech in the US for £129.00 + £42.45 shipping by FedEx Express, which takes only 2/3 days. I then got an invoice from FedEx for the UK VAT and a handling charge which came to £25.90. So all in all a total of £197.35
As a dealer tends to charge around £50.00 to change my xenons for Europe and £50.00 to change them back again and as I tend to drive to Europe at least twice a year it will soon pay for itself with that alone.