The first time I heard it was while visiting Wisconsin for a Wisconsin-Minnesota hockey series while attending the University of Minnesota. 

The PA announcer, Phil Mendel, greeted the crowd with "Good evening, hockey fans," and they replied in unison, "Good evening, Phil." 

Whenever the Badgers scored, the fans would stand, point at the opposing goaltender, and chant "sieve, sieve, sieve," etc. 

-----Original Message-----
>From: Richard Henry <[log in to unmask]>
>Sent: Jan 19, 2008 4:56 PM
>To: [log in to unmask]
>Subject: Where did the "sieve" chant come from, anyway?
>
>I have my own theory, but I don't want to won't prejudice the results, so 
>I will respond later.  Please respond with when and where you first heard 
>a visiting goalie treated to a "sieve" chant after letting in a goal.
>
>