First thing I would suggest is check your battery, should be ~12v static and 14.4v when the engine is running. The power steering on the mk4 is electric.
I had this a few times in the cold around christmas, my battery was weak (replaced now).
It was only showing 9v if I left it a couple of days and when I started it in this condition the steering light would come on - mine would also be fine if I switched the engine off and then on - this was because it had taken a bit of charge by then I guess.