It has something to do with pushing on some lever to open a vent that allows fuel to go into a space at teh top of the tank that needs to be empty if you're using gasoline, but it's okay if it's full of diesel fuel (same tank irrespective of the engine). I guess all the guys on the VW hypermiling forums are into doing this.
Ah, here we go:
http://www.myturbodiesel.com/1000q/a4/vent-fuel-ta...
(Looks like it applies only to older cars, and yours can presumably be filled all thea way without these gymnastics.)