2003 Audi A6 Vibration and noise when making turns

Is this turning the wheel while stationary, or driving thru a turn? A bad CV joint will make a loud knocking noise driving thru a turn but usually wont vibrate much. In my experience at the audi dealership I worked for, its difficult to get the correct replacement shaft the first time. If you have the wrong length shaft it could be binding and casing noise/vibrations.
If its making noise while tuning the wheel at a stop, it could be air in the power steering, or dry ball joints/tie rod ends.

Thank you for the fast reply, asandberg6. It is making the turning noise while stationary and driving, turning the steering will give loud noise but it is not a knocking noise, just like buzz and hum. The vibration is not that bad. I changed both the CV joints half a year ago, so they should be fine. The Audi dealer actually mentioned about the air in the power steering, but they said it is fine. Now it sounds even worse, so is there a way to get rid of the air?

You want to check the fluid level and turn the steering wheel slowly from lock to lock to work any air out of the rack&pinion. I say slowly because you dont want to aerate your fluid any more than it is. Sounds like you have air in the system, but it might possibly be a bad pump or steering gear.