It's a pain.
1) Discharge A/C system
2) Disconnect Negative Battery cable
3) Remove Driver's side airbag
4) Remove Steering Wheel
5) Remove Center Console
6) Remove Dashboard (yes, the whole thing)
7) Loosen cross member (the bar that supports the pedals and supports the dash.)
8) remove duct work
9) remove HVAC housing (seal off heater core lines to prevent coolant spill into vehicle.)
10) remove heater core from heater core housing.
11) slap new one in.
12) go through steps in reverse for reassembly. Use caution not to damage heater core seal or evaporator seal.
13) charge up the A/C after assembly.
Airbag malfunction light may come on after reassembly. Must be cleared with VAG tool. An honest shop should charge you for about 6 hours labor plus the cost of recharging the the A/C system and refilling any coolant lost. The core itself costs between $110 and $190 depending on the source. If you have never done this before, it will likely take about 12 - 18 hours depending on your skill level.