Your headunit has entered... well... SAFE mode. The lockout mode it activates when it loses it's constant power. It's meant as a security feature... so that if someone cut the radio out of your NB, it'd be useless to them because it'd be in this lockout mode.
What you need to find is the security code for the headunit. If you bought the car new, it should be stamped in the owner's manual on a little card that says "Radio code" or something. But if you bought the car used, chances are that card has been ripped out of the owner's manual (as it should be... it'd be a bad idea to ever keep your radio code in your NB).
Some people have been successful in finding the radio code on the sticker inside (or around) the spare tire well. But sometimes that's missing as well.
In which case, you most likely would need to take your car (or at least your VIN) to your dealer and ask them to contact VWoA for your code. Some dealers will charge you a fee for this service, some won't.
Then, once you have the code from one of these sources, you enter it into the headunit via the station present buttons, I believe... it's been a while.
The audio section would get more views for this, If you got a new headunit chances are that they make an adapter for it to match up with the VW wiring harness, and they do sell a dress plate to make the square thing look better in a round hole..
If you want more information about headunits etc, please post this question to the audio forums.