I agree with the above, get the recirculation valve checked first.
You'll need the car on a lift or ramps as its only really accessible from below.
Undertray off. Look up to front of the engine on the front of the turbo, there is a black plastic housing held on by 3 allen-key-head screws (chrome coloured). Thats your baby you need to unbolt. Nothing else will fall out once unbolted! Obviously mind it might be very warm in that area if the car has just been run. Here's a (rather 5h1tt) picture of the item in situ. Your looking for the N249 Diverter / Recirculation valve.
http://img.photobucket.com/albums/v4...am00/turbo.jpg
Here are piccies of the old type and new; (old on the left, new on the ....)
http://www.my-gti.com/wp-content/uploads/06f145710g-06h145710d.jpg