The fuel filter you're referring to is found under the car by the fuel tank. It is usually hidden away under protective trim, but the trim can be removed easily enough.
The fuel filters are around £30, because they work in a different way to regular filters. It is an easy enough job, but is rather fiddly and can be dangerous as fuel is involved.
It took me all of 15 mins to do it on my 1.8T, but it did have some annoying clips that hold the filter in place which wouldn't budge. If you do do it yourself, make sure you open the fuel filler cap to release all the pressure and that you wear gloves and have a cloth ready to mop up any spilt fuel.