What is causing a whining noise in a '02 Golf TDi when in 4th & 5th gear?

I am getting a really loud whining noise from my '02 TDi Golf when driving in 5th gear (occasionally in 4th). The noise is extremely annoying, especially when driving long distances. Here are the details:

- When I take my foot off the accelerator (still in gear) the noise stops.
- When freewheeling there is no noise.
- The more I accelerate, the higher the pitched the noise gets (the lower the speed in 5th, the lower the pitch).
- The noise is constantly there everytime I'm in 5th.

It's like playing some kind of f**king musical instrument on wheels at this stage!

I'd really appreciate any help I can get. Thanks.