This is a bit old, but as someone who has owned 3 Jettas and 3 Passats (2003 and newer), I feel I'm reasonably knowledgeable on this topic.
VW uses 4 standard hex-head lug nuts and one inner-splined lug nut as a theft prevention method. The splined nut is not locking (i.e. it doesn't require a unique key). However, depending on generation, they use anywhere from 13 to 19 splines (I believe that's the range). This is one of the reasons the dealer wanted you to bring it in. (Mostly, they probably wanted to bill you for the service - they probably could have told you exactly what spline count you needed from the VIN.)
A quick internet search will tell you the number of splines used on the (OEM - no accounting for aftermarket replacement) lug nuts on your year/model VW. Then, head to a local auto parts store or your favorite online behemoth and pick up a single lug key, or a set of lug keys with multiple spline counts. A search for "vw jetta lug nut key spline" returns many results on the river shopping site, and I'm sure it will return similar results at other sites.