There's something weird about my St205, when I first start the car, everything runs fine, but when I start to drive faster, there's a loud noise coming out of I don't know where. It's only for the first couple miles then it stops.

Any idea what it can be? (could be the cold? it started doing this since the cold weather arrived)

Yes, we can tell you exactly what any noise is on your car just by telling us that you have a noise.

Look the time I wrote this
I'll try to make a video next time I run the car...
It's a kind of sucking in or out noise, I hear it only at about 20-30 mph @ ~3,000rpm when I drive fast there's none, or slow there's none...it's only when the engine is cool and oil not warmed up

is it the intake?
it could also be a vac hose that came loose