2TDIGuy, sorry I don't have any pictures handy. I went out to try and take one (under the dashboard) now, but there's no way to see anything with all of the panels in place.
Basically if you're sitting in the driver's seat, then the module is ahead (forward) of your left knee.
It's the only one that has two large wiring harness connectors.
You do need to remove at least 2 panels, plus the "support bracket". You need some Torx bits for the screw/bolt heads, sorry I don't recall the sizes.
I didn't have time to research this for you too much, but ... on the 'vortex there's a post that talks about the CCM location, here --
http://forums.vwvortex.com/zerothread?id=1910787
And, that support bracket (it's a bit heavy), you can see (pictures of) it here (look for "Step #2") on this page that I came across via web search --
http://turbotimercompanion.com/vw/vwjetta.html
If/when you remove your CCM, be sure to use a little flat-blade screwdriver or something to disengage the locking tabs on those wiring harness connectors; so that you can gently nudge/ease the connectors to unplug (disengage) them ... gently (of course, you don't want to slam your knuckles on the surrounding metal either) or gradually pry them apart from their mates.
Another thing you could do first (in the interest of making darned sure of what the problem is) ... disonnect/remove the CCM, then remove the cover. Then reconnect it, but don't bolt it in, just let it hang down in front of your knees. Drive around for a few days like that, and then if the lights become stuck "on", reach down and give the relay a little tap with your finger ...see whether that makes the lights turn off. If so, then it's STICKING for sure. Mine was less likely to get stuck with the CCM open and hanging loose, since the relay tended to be cooler that way. But, it still failed at times (when the ambient temperature warmed up enough).
Hope this helps; Larry.