I have a flat tire on my 2003 Beetle convertible.  A friend helped me
try to remove the tire and put on the spare, but we cannot get past
the hubcap.  There is a star-shaped bolt that needs a special tool to
remove, and I have no such tool.  I purchased the car new.  The tool
is not with my owners manual, in the glove compartment, or in my trunk
with the spare part and other tools.  Can only a VW dealership change
a tire on this car?  Or do I need to purchase a tool?  Perhaps the
tool should have come with my car or is hidden somewhere in my car? 
The owners manual was unhelpful.  A call to my local dealership
resulted in getting transferred to a voice mailbox.

Hi BTC, 

It sounds like you have locking lug nuts on your wheels.  They require
a special key, as you suspected.  The concept is that it keeps people
from stealing your wheels.  I checked the part store to see if you can
buy just the tool, but while I found the locking bolts (
http://drivergear.vw.com/store/accessory.asp?parent%5Fcategory%5Fid=12&category%5Fid=115&subcategory%5Fid=344&product%5Fid=2085
) the tools aren't available separately.

You should have received the wheel key with the car.  It sounds like
you've checked all the right places (it should normally be in with the
owner's manual), so it must have been misplaced.  Perhaps your wheels
were put on at the dealership and they forgot to give you they key. 
You should call your dealer and get them to give you a replacement. 
They shouldn't charge you for it if you never had it in the first
place.

If the dealer parts department people keep sending you to voice mail
you might want to be sneaky and ask for someone in sales.  I'd be
surprised if you get sent to voicemail then!

Best of luck. 

Hibiscus

I may be wrong here but I think the person is referring to the cover
that hides the lug nuts. The Beetles come with these to give the car
that smooth look. Often times there is a closing mechanism such as a
star nut that keeps it on. There should have been a tool to take that
off included when the car was purchased. The dealer should obiously
offer it to you if it wasn't. In the meantime you could probably use
either a flatbladed screwdriver that is of a similar size to take it
off. Or, you can purchase Torx wrenches from Sears that use a simolar
pattern. Worst case scenario if you are stranded and would like to get
the tire replaces ASAP a screwdriver could be used to pry the cover
off. As it is plastic it will break but the dealer should replace it.

It would be very unusual for a new car to come with wheel locks from
the dealer. It is an extra expense that the dealers will see no return
on when selling the car If it does however, and you are stuck, you can
use a socket that is of a similar size along with a hammer to slam it
on there to get the wheel lock off. Typically wheel locks will only be
on one of the lug nuts. Not all.