If you mean which fan header it shouldn't make any difference at all unless the motherboard lowers the speed on the Cpu header fan when the proc is cold, which i think a lot of intel boards do unless you turn something off in bios (i think its called cool and quiet). This is bad because it means the fan wont get enough juice and you wont have proper control of it.
So just stick it on the system fan header and you'll be fine.