A waste gate on a turbo charger is a valve that releases excess pressure - if there wasn't one, at full revs the turbo would overboost and probably kill the engine.
On the old Tdi, the waste gate was effectively controlled by a spring. When the TD5 came in it got electronic control, so there is a gizmo called the actuator which controls this so the management of the pressure is more controlled - it will give more boost under heavy acceleration for example . However, the actuators are prone to failure, and the mechanism can get sticky. New actuator (or modulators as they are electrical) is about £20-30, and is on the top right of the engine when viewing from the front. As with all Td5 bits it's hidden under other stuff so while the repair isn't difficult it's a bit fiddly. I got my independent to fit new one for me.
http://www.discovery2.co.uk/wastegate.html is a good article on how to replace it.
Cheers!
Graham