Saying there will be no performance difference is sort of false. If you have a program that uses alot of memory so uses alot of page file and uses a hard drive for reading and writing alot than there will be better performance. But the only time I have ever done something that did that was transfering a video to BMP frames.
Also, if you use record games with a program like FRAPS than having it on a independant HDD increases game performance.