I do not know how to remove my wheels the Stock ones i see this Grey plastic piece the tire iron that comes with the car will not fit the lug nuts. I am thinking it is a cap over them. please help me thank you.

 

WAYYYYYY too little info here. What wheel do you have? There are dozens of "stock" wheels depending on model year, model (your screen name says you have an A4!!), engine, sport package, etc.

Post a pic and we can help you out. 'til then, there's nothing we can do.

As a side note, did you check the manual? Info on wheel removal is in there.

 

You should have a small tool in the styrofoam holder where your jack and tire iron are located. It's a metal ring with a small hook on the opposite end. Use the hook to remove the gray plastic lug nut covers, then use your tire iron to remove the luig nuts. I always spray a small amount of white lithium grease in the caps before replacing...making it much easier to get off the next time.

 

actually, there is another tool taht should be in your car (might be in a plastic bag in the cubby in either the left or right cubby of the trunk). Looks like a 3" long and 1/2" wide pair of plastic tweezers. They fit right over the cap and have a small groove on each side to pull the lug cap off. Here is a picture of the tool:



If you cannot find the tool in your car, your dealer wil have one for $1 or so. The loop/hook in the tool tray is to pull off center caps for wheels that hide the lug bolts under a center cap.