Wow, what a coincidence. I think I have had just the same thing today - see my thread on the X350 forum.
In my case it was part of the intercooler (black plastic on drivers side).
The whole intercooler looks to be the only way, original part number of C2C30458 now superceeded to C2D5798 and about £300 I'm afraid.
Edit...
Sorry - that's the part numner for the X350.
For the S-type the intercooler is:
XR847813 To VIN (N18676)
C2C27262 From VIN (N18677)
- looks just the same though. If you've got the EPC it's under Engine Cooling System - Radiator and Mountings - Diesel
In my case it was part of the intercooler (black plastic on drivers side).
The whole intercooler looks to be the only way, original part number of C2C30458 now superceeded to C2D5798 and about £300 I'm afraid.
Edit...
Sorry - that's the part numner for the X350.
For the S-type the intercooler is:
XR847813 To VIN (N18676)
C2C27262 From VIN (N18677)
- looks just the same though. If you've got the EPC it's under Engine Cooling System - Radiator and Mountings - Diesel