Most likely you're hearing what's called the "secondary air injection pump", or air pump for short. The noise you're hearing is normal - it sounds rather like a leafblower or something, and it comes on for a short time when the car is started cold, or sometimes idling for a long time, to help the car produce lower emissions while the cat converter is warming up. As long as you don't have any check engine lights or screeching associated with it, then the noise is probably entirely normal.