Here's the package, part number 3A1 941 531 B:

The new switch (left) vs. the old (right). My original one was the '95 style with 3 positions but you could only turn on the fogs in the headlight position. The euro switch allows the fogs to be on in the middle (parking lights) position and it has a second pull out for the rear fogs. That's what the second indicator light is for.

To remove the switch, you have to slide over one of those little gray tabs on the top of the switch which then slides over the tab on the left allowing the switch to be removed. I found that if you pull from the right side of the switch, not on the small trim part, and pull it out a bit, you can then see the gray tab and slide it over with a credit card and pull the switch out by the knob.

I installed the new switch but the fogs still only worked in the headlight position. At first I thought it was broken but I tested it and it was sending the signal to the fogs in both positions. I did a bit of research, mostly in the Mk3 forums, and found that you either need to jumper the fog relay, as described here or you can replace the fog relay with a standard automotive relay. I figured it would be easier to go buy a relay than make the jumpers and the only automotive relay that Radio Shack sells works perfectly so I went and picked one of those up It's part number 275-226: http://www.radioshack.com/product/index.jsp?productId=2062477&cp.

It replaces this relay, in relay location #10.

Here you can see the difference in the pin configuration:

I swapped out the relay and it worked. The fogs now work on both positions and stay on with the brights. However the low beams still go off when the high beams go on so you would have to make the jumpers if you wanted both beams to go on at the same times. Now to hook up the rear fogs.