I have a problem with my 2004 MK5 TDi

There is a knocking noise coming from the wheels when i'm tuening the wheel.

The noise seems to happen when driving off whilest turning or going slow when turning. (Not when driving in a straigh line) Knocking only happens when the wheels are getting driven, if i stop at a stand still and turn the wheel it doesn't knock

Anyone have any ideas what the problem is?

Your help would be much appreciated

Many Thanks
Dave