I've got a Mk4 and I'm sure I've read in the manual that this may happen. It doesn't specifically say it, but it does say something along the lines of 'When Climatronic is in Auto mode, you may notice unpredictable behaviour, such as directing air to the footwell on first start up, this is to stop moist air being directed to the windscreen on first use'. So as others have said, to stop it you may need to select 'Auto' (thats on the MK4, on the MK6 I guess the default is 'Auto')