2003 Audi A4

Hi. My car makes a really loud noise when I turn the steering wheel. At first, I thought I was low on power steering fluid but that was not the case. The car makes the same noise when in the park position, the ignition is on and I press on the accelerator. This has happened twice when it's cold outside. I drove it when it was making this noise and something started to smoke under the hood. I checked power steering and coolant fluids and both tanks had adequate amounts. The temperature guage stayed between Cool and Hot. There are not leaks either. What could be the problem. Thank you so much.