It should work... can you post a picture of the cable?
If it is a newer vagcom cable (802, etc) then it might not work properly. But a regular 409/ebay cable for $12 should work without issue.
If you cannot get it to work you can buy a cable from one of the sellers suggested by Tony here:
http://nefariousmotorsports.com/forum/index.php/topic,325.0title,.html