Find your cars 'wheel lock key'. Often, it is located in the spare tire well, inside a foam insert with jackstand. Sometimes I find them in peoples' glove boxes.
You can't remove the wheel without this special key for your VW (on the left)
(Not every car has these, but usually there is one lugbolt (right) per wheel like this).
We purchased a master set that fits 95% of VW's. You'd be surprised how often we use it.