Picasso HDI noise

[csa3333]

I've owned a Citroen Picasso 2.0 HDI 2003 for half a year now but during the winter months I have noticed a strange sound when I started it up.

The sound disapear after 10-20 minutes so it is related to the engine temperature. Revving the car increases the frequency of the sound.
The sound can be heard specially in the cabin. Its not the Heater Fan noise.
Otherwise:
The car has 300000Km and sluggish from the begining.
White smoke coming out from the exhaust on cold start. (EGR plated)

Is this something I should be concerned about? Turbo fail?

Thanks