Nowhere, since that car doesn't exist, at least in the US. (TD implies a diesel wagon).

But to answer your question, the main spin-on filter is in the front of the engine next to the PS reservoir. You can't miss it. The prefilter is inside the main filter housing. You have to remove the plastic fuel hose that connects to the top of it. There's also a strainer in the tank.

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2004 VW Jetta TDI (manual)

Past MB's: '96 E300D, '83 240D, '82 300D, '87 300D, '87 420SEL