If you've got c/c you might also need to remove this aswell (for easier access), which is simple. Just remove the 2/3 bolts on the heat shield that fix it to the engine bay side of the wheel arch.
If it is the drivers side you are talking about, this is the pipe I am talking about:

To get your bearings, imagine you are stood in the v of the engine looking out towards the drivers side of the car. This is how/where this pipe is. The bit with the hole in bridges to another metal bit that then bends 90 degrees to the front of the engine.
When I originally posted about this, Marks DTM Calib suggested that the cause of this pipe burning through could be a blockage in the exhaust which seems to tie in as I have a rattly cat on the o/s.
I bridged it with copper pipe as a new bit burnt through again. Not ideal i know but I have had no problem with it a few thousand miles later, although I do intend to get new cats when i get a s/s system.
P.S. when it burnt through again I obviously got a sound which sounded like a blowing gasket, which I thought couldn't be possible, and was annoyed to say the least!

After a little thinking, I felt my hands around the pipe and felt it was blowing again (it was difficult to see as the hole was facing down). This meant that the exhaust was blowing up the SAI pipe, which it is obviously not meant to do, which could be related in some way to the apparent blockage.
It took me along time as I kept on getting distracted by sandwiches and birthday presents, but when you come to do yours just remove your oil cooler pipes instead of being lazy like me and it will be easier to get the coolant transfer pipe off!
HTH