An excerpt from http://uk-mkvs.net/forums/t/177496.aspx site:
If you want to listen to the radio, you will also need an Autoleads PC5-90 or equivalent adaptor. Contrary to popular belief this is NOT a booster amplifier, it is a phantom power supply that sends power up the aerials coax cable to the matching amplifier built into the base of the aerial, again this also is not a booster but actually makes the radio “think” that the aerial is lot longer for MW reception (ideally it needs to be about 1.5km long for this).This is built into all the OEM radios, and is only needed on aftermarket radios if you want to listen to MW, or not all if you don’t mind no reception at all on MW, or slight loss on FM where it won’t be noticed if you only ever listen to strong local stations.
You will need to connect the blue flying lead to the blue or blue/white wire as outlined in the last step.
This is for a MK4 golf and can be applied to other models in the VAG group from 97 to 2005. There is plenty on the dedicated VW forums out there about replacing the std fit stereos in the different models.