Hey Chuck, welcome to the org! Sounds like a faulty coolant temperature sensor to me. The dealer is well aware of this, and usually has the new and improved "green top" sensor in stock. It's a $5 part that usually doesn't take long at all to replace. If you have a warranty from the place you bought it, then see if they will cover it. Otherwise, you'll be out $5 and a 1/2 hour of your time to do it.
While you're at the dealer, pick up a gallon of G12 coolant (the only coolant to be used in our cars, and you'll need it for the sensor install anyway, and yes, it really is $25/gal). Also, read my TDI FAQ that I've made for new owners...has answers to many common questions.
Happy motoring!
