To properly answer your question, yes your car has an inter-cooler. Here is a link to Forge site to a replacement for your OEM one (this prove the existence of the stock one).
I cannot find any definitive answer but as far as I can tell most (see lower) VW engines with turbos have an inter-cooler. It is generally located behind the bumper on either side of the car (not in front of the radiator) in front of the inner fender. From my own limited experience it is generally on the drivers side of the car (North America), so left side. I don't know how this applies to other models where the driver is on the right side.
I had some time to do some research and it seems some older diesel engines came without an inter-cooler. Also has I have found, from the comment from Paulster2, some cars with transverse engines have the inter-cooler on the right side of the car. I also added a picture of where the inter-cooler is located in a Jetta (on your car it should be approximately the same location on either side).