No one likes to hear this high-pitched whining noise.  First, check the power steering fluid.  Is it low?

Power steering pump

If so you will need to have a professional auto repair shop take a look; as the steering fluid should never run low.  A failing power steering pump will not push the hydraulic fluid through the system.

The noise can eventually lead to rough turns and a damaged steering system.  Don’t ignore the whine and you will be fine! Yes, the rhyme was intentional.