That's actually pretty normal on most cars. If it's particularly bad, then it's worth checking into, but most cars grumble if the first turn of the morning's pretty immediate. I think what the problem stems most from is the fact that you're steering without proper lubrication, which the system then gets by rolling the parts through it during that first turn. After that, everything's flowing the way it's supposed to and the noises cease.
Virtually every car I've ever been in complains if you turn more than about 45 degrees with it within the first thirty seconds of driving, unless it's been warmed up for a really long time first. We've always referred to it as the morning grumblies, because it's very much like the noises most people make first thing in the morning when they're forced to get moving out of bed. It's not usually a sign of a problem, so much as a reluctance to move from a settled position.