I've changed the fuel filter a couple of times on my wife's 1.4TDi. It's located on the passenger side and covered with a heat shield. Ensure you've got jack-stands in place - before venturing under the car. It's a fiddly job but easy enough.
As you'll already know, the shield can corrode purely due to its location. Your Audi main dealer can supply a replacement heat shield (if required) and the 10mm pressed caps (x3) that hold it in place. There's also a star-drive screw on the trim to remove. Once that's off you can see the fuel filter. It's held in place with a metal bracket/carrier, so you'll need a 10mm and 13mm socket to remove. Make sure you have a empty container to catch a little diesel you'll lose and cover the drive with cardboard to protect from spills.
With the carrier now removed the filter will drop slightly, but not much. There are in and out flow fuel and vacuum pipes. Before disconnecting any pipes - mark the corresponding pipes with coloured insulation tape. Trust me - it saves any problems when it comes to refitting. The rubber pipes are connected with plastic connectors. Press the connector and it should detach from the pipe. I think in total there are 3 or 4 pipes to disconnect. You'll lose a little diesel - but not much. With the fuel filter now disconnected - drain the fuel into a suitable container and indicate the contents. Your local recycling centre should accept it.
The new filter needs the rubber fuel lines transferred onto it. Note the location of the fuel lines before hauling anything off. Any fuel lines that look cracked or worn - then replace. With the fuel lines transferred, top up the fuel filter with fresh diesel. The tricky bit is to attach the plastic grommet onto the fill aperture. Use a pin hammer to gently tap it into place. It's finally secured with an R pin. Attach the rest of the fuel lines (you'll hear them click into place). With the fuel filter now connected to all the pipes, secure in the carrier, ensuring it sits high enough for the heat shield to cover it. Before installing the heat shield, start the car to ensure there's no leaks or weeping. If everything is as it should be - then install the heat shield. Job done.