That depends.
When you first build the board, we suggest connecting the pin to +5V. This will run the self test (the LED will blink 10 times, pause, and repeat). However, this is simply a preprogrammed script inside the GP3A. When you program your own scripts, you will overwrite the self test script.
For normal operation (tied to a PC) you must ground the pin. However, if you want to run a compiled script you'll need to set the pin to 5V. If you are using the kit with a solderless breadboard it is easy to just use a jumper wire on the breadboard for this purpose.
If you are building the kit on the GPMPU40 board, refer to the instructions included with that kit. You can wire a two pin jumper and pull up (included with the kit) to make the selection via a jumper (or you can use a breadboard jumper if you prefer, of course).
The GP3X board has this jumper marked PGM/RUN. On the GMPU28, the pin is JP1-3.