My 2004 audi TT cannot run engine. Every electrical equipment work well as like windows, horn, seats. Battery is good. Is my car protected by the security system? Do I need to go a dealer?

SOURCE: timing belt replacement for Audi

Which engine do you have? It makes a big difference. If you have the 1.8T, here's everything you need:

http://www.audiworld.com/tech/eng35.shtml

SOURCE: audi tt 180 quattro car wont start. EPC and E-M system lights on

I would suggest you check oil levels etc. Generally these cars suffer from the air mass meter / air sensor problems aswell as coil problems too. Did you ever get a solution to the problem?

SOURCE: 2005 Audi TT Master Fuse location

Had a similar problem audi come into my shop.  No headlights, blower motor would not work, wipers would not work.  After dinking around found ignition switch wires had burn't up.  Remove top steering column by taking out two very small philips screws from under column.  Look at top LH side of column w/ top cover removed.  Probably will find wires burnt up.  

SOURCE: Engine management light come on on an audi tt 2001

Really need the codes when the light comes on. Stop by advanced auto parts and have them read it, or buy a $50 tool. Will save you hundreds with an Audi.
Most likely is MAF sensor. Not as scary as sounds, and you may be able to fix it your self if you can twist a screwdriver.
Are you getting any coolant warnings?

SOURCE: Audi TT HID bulb needs replacing

You can change the bulb easily yourself in about five minutes, especially on the passenger side. You may want to disconnect the battery, though I don't know if that is necessary. You may also want to handle the bulbs wearing latex or nitrile gloves so as to not get your skin oil on the glass.

1. Remove the decorative cover that conceals the Coolant reservior. There is a single philips screw near the firewall that holds the cover down.

2. Find the back of the headlight and pull the metal wire clip that holds the back of the headlight cover toward the engine. Remove the cover.

3. Look inside and find the back of the HID bulb--it will be toward the outside fender. Twist the connector until it separates.

4. There is a retainer ring that holds the bulb in. Again, twist that until it comes loose. The bulb should come right out.

5, Put the new bulb in, noticing the notch is on top. Also, attach the retainer ring. It is marked "Top" to help orient it. Reattach the connector with a twist.

6. Make sure everything is firmly in place. Reconnect your battery and test the lights. Finish putting anything else back on.

Good luck.