Check engine light is on, engine missing

I think you have burnt valve seat or head gasket either cylinder head has to be removed

replace the injector in no 2 cylinder

Got a check engine light? Get the codes read to find out if the misfires are on all cylinders or just 1. Could be ign coil, bad crank or cam sensor, or a valve issue

Could be a vac leak or other ignition problem.
A vac leak could be covered up by the extra fuel and higher idle speed when the engine is cold. And if it is a gasket leaking the leak can get bigger as the engine warms up.
A faulty plug wire or coil could start failing when hot.
A solid miss-fire should make the check engine light come on and set a trouble code.

A misfire can come from several things. If you have any mechanic ability check the following.

1. Are the plugs and wires new?
2. Does it smoke?
3. Can you smell gas?

While its missing do the following.

1. 1 by 1 grab each fuel injector. A noticeable tick should be felt.

When it gets dark fire it up and pop the hood. Disable the hood light and look for sparks. This could indicate a bad spark plug wire.

Chances are its only one cylinder missing. But in the event i am wrong, Check the coil. Some models have a single coil and others have multiple.

It could Be a wire id use a multi meter to check the ohms of your wires. It could be a sensor or the ignition control box. im not sure its hard to say without looking at it.

the fuel injector may be faulty in that cylinder

Now change the distributor. Get one from salvage or e-bay. Did the timing belt jumped a tooth or is it new. Vitally

if you have a pd engine and you say that it miss fires i would change the wire loom to the injectors if it persists the air flow meter is on the blink, has you car ever gone into a limp mode status were you couldn't rev then check your turbo ,this may sound strange but just had a 150bhp tdi which was remapped with a very simular problem

P0406 is egr positon high replace the egr valve and se if the light comes back on for the miss fire on cylinder 4