Only had my A4 Avant 1.9 TDi 2 weeks and already I have this light on...plus both brake lights are not working at the rear....
Had this problem with the esp light always on on my last mk5 1.6fsi golf. it was the traction control pump that had gone, there about £800 pound for a new one but i took it to a specialist and the sourced a second hand one and it cost me £350 fully fitted. hope this helps.
ESP light could be a faulty bulb or anything - as said get it on vagcom. When i bought mine it had this and it turned out to be a dodgy bulb, was replaced under warranty from the dealer i bought it off luckily!