So you're driving and then all of a sudden you heard a squeaking sound. If you think it is normal, then the answer is no.
There are actually three possible answers to your question why does my car squeak when I turn its steering wheel. You might want to brace yourself for this because it could be very pressing that it needs immediate attention.
On the other hand, it is still not life-threatening so you could take a deep breath and know that everything is going to be fine. It is actually a good thing that you are hearing it because it serves as a warning and it gives you time to address the problem in your car.