My 02 VW Polo had the same problem @36k miles (was it the EPC light that came on?), but mine it was intermittent. My local garage said VW needed to do the work.
VW charged me for 1 and a half hours labour to find out it was the emissions sensor that needed replacing - total bill £437 APPROX WITH VAT. However, I had to return the car to them again as the light came on again, but this was put down to a new 'faulty' sensor (sounds like a design fault too me).
Good luck, maybe it would be worth contacting a local VW specialist rather than a proper franchise - the service I got was well below par all in all anyway.
Marco
July 2006