I have a Volvo S40 2.0 diesel manual and have difficulty in selecting reverse gear from cold. The vehicle has done 36000 miles only

I am assuming this is a manual transmission. First check the fluid level in the brake reservoir as this feeds the clutch as well. Check under the vehicle for leaks as air in the system can cause gear change issues. Does the pedal feel different? If it feels 'Spongy' you could get a Good Mechanic to bleed the system to get any air out.
Do you know if the clutch has been changed in the past? What mileage has the vehicle done? A Clutch assembly is usually only designed to last somewhere between 60,000 and 100,000 miles. How the vehicle is driven can also have a big effect on the life of the clutch.

It's inside the transmission. The shift yoke probably has worn so much that it no longer moves the gear inside.

THE CLUTCH MUST BE CHECKED AND GEAR OIL LEVEL AND IF THE CORRECT OIL HAS BEEN USED AS PER MANUFACTURES SPECS

servicing is 12k/12 months,you are doing more miles than time so next service is 42k

Are you getting a trouble code?

Find one of the Volvo forums / Volvo clubs on the net (there are many) and search there fot the answer. I'm 100% it's already answered ;)

most likely the relay. its located to the left of the fuel filter( looking at the motor from the front). my experience is that they only last about 50,000 miles. the part costs about $20 at an navistar dealer. remove the cowl over the filter, disconnect the batteries(so you don't short the new relay out if you cross the polarity with a wrench) ,remove the four wires from the ceramic relay, un-fasten the relay from the base. reverse the process with the new relay. CAUTION; do not over-tighten the nuts on the wire studs, you could crack the ceramic relay.(iv'e done it) . hope this helps

This is possibly a fuel pressure fault or air in the system. Get it plugged in to read pressures first.

need new gear box

#1. Try putting in second gear, then go to first.   #2 Try putting it in reverse, come off the clutch just enough to move the car slightly, then put into first.
Let us know if either of these work or not.