On a cold start a whistle from right front engine that goes away after the enginen is warm. What causes the whistle??

Make sure it's not from the belt area, sometimes the serpentine belt tensioner pulley can do this. Also, the timing belt tensioner can do this. If it's definitely right side try to determine if it's the turbocharger (bearings) or more from the air filter area.

It's a whistle not a belt. It seems to precede the Check engine light and Exhaust Emissions message, and then a $500 bill from VW.

I'm not saying belt, but bearing. They can make a whistle type sound when cold going bad. If it makes the light go on I would look for bad vacuum hoses too.

I am dealing with the same problem (among many others) and upon close inspection found a crack in the turbo housing. Lets hope your problem isnt as severe. Check for exaust leaks around the turbo and cat. converter. I first thought it was vacuum or belts but no such luck. Hope u have more luck!