All cables from the computer should be wrapped, especially those carrying high-speed signals e.g. DVI, USB, VGA, Firewire.
As the computer is the source of most interference, it is better to put the core at the computer end.
Don't put too many cores on, or wrap the wire round the core more than once or twice - the cores main purpose is to reduce interference, but by doing that can weaken and degrade the signal very slightly. The wires normally come pre-fitted with the cores in the optimal configuration - the right balance between blocking interferance and degrading the signal.
Putting dozens of turns on a core could theoretically degrade the signal to the point where it doesn't work.