It doesn't matter. If you start the CW first, you'll have to do MQ until you've finished Dragon Rising. If you do the MQ first, you'll get to do the peace talk if on of the sides in the war still controls at least two holds. If you do CW first, you'll get to meet certain NPCs in
. if you do the MQ first, you can
Spoiler call Odahviing or the heroes of Sovngarde
to help you in the war.