That would depend on whether you are using Windows or OSX and perhaps whether you are left or right handed and whether you are using a mouse or a touch screen.
Nevertheless - a left handed touch screen user on windows will probably out of familiarity with a majority of software expect to find the button on the right.
Generally - don't depart from the fundamental norm. If users expect to find something somewhere (because everyone else on the planet does) then you've got to have a really good reason not to do the same!
Other than that - the typical workflow for a (non Hebrew speaking?) user is from left to right - it would seem more logical therefore when trying to get final closure on a window that it be at the right along with other finalization buttons, notwithstanding the working conditions in my first paragraph.
There are inevitably going to be some for whom the left is preferred and some for whom the right is preferred, so you can only cater for best experience for the majority, not for all.