The orientation of fans on CPU heatsinks (assuming a single fan) is not usually determined by the exhaust, but rather by the intake. In other words, you should mount the fan on your heatsink so that it draws in air from the case's intake. On most cases, that means you mount the fan on the side of the heatsink facing toward the front of the case. On some Lian Li cases that have a rear intake, you mount the fan on the side of the heatsink pointing toward the rear of the case.
Regardless, make sure you mount the fan so that air is being pushed over the heatsink. A "pull" setup is not recommended for most single fan heatsink installations.