Nobody mentioned valve adjustment so I'll mention it. Also check your idle speed. Raising it slightly might cure the problem, but don't raise it above the proper range. If the white smoke has blue tint to it, then most likely it's unburned fuel, not coolant. Also, letting the plugs glow longer before starting should help.

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2004 VW Jetta TDI (manual)

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