I was asked recently where I keep the "locking wheel nut" on my car. What is this? What does it do? How can I find it on my car? Do I even have/need one?
Depending on who asked you, and why, I would assume they were talking about the special socket needed to removed locking lug nuts from the car. On cars that have them, one of the 4 or 5 lug nuts/bolts will have a smooth outside and a special pattern on the inside that only a certain key will fit.
The lock can typically be found near where your spare tire or tool kit is kept. Since that's where the manufacturer puts the key, some people might move it to another location to avoid easy theft by someone looking in the "default" place.
My Jetta has a syrofoam insert in the spare tire with cut-outs to hold the wheel lock key, the plastic lug nut cover pulling hook, and the tow hook for the front of the car. I bet you have a similar setup under the cover in your trunk (boot?).
In a car normal lug nuts or lug bolts in your case have some type of hex head. This can be easily removed with a lug wrench or a ratchet and socket. This also make wheels easy to steal. To counteract the theft there exist special lug bolts that have a non standard pattern. This pattern requires a key to covert the special pattern to a standard hex. This is roughly what your lug a key can look like.
The key can be kept in the glove box but in reality the key could be anywhere, even not in the car. VW commonly has a zip tie device that affixes the key to the lug wrench in the trunk area near the jack.
To check if you need one there should be a tool somewhere near the lug wrench that looks like this.
Use it to gently pry off all the caps on one wheel. If all the lug bots are hex then you don't need a key, if one of the bots does not look like the rest then you need a key.