Power Steering traditionally works off of a pump that contains hydraulic fluid. The Power Steering pump is powered by a belt driven from the main crankshaft. Some more modern cars are converting to an electric power steering system
The first sign that a Power Steering system is about to have problems is when you turn the steering wheel while your car is stationery (with the engine on) and you hear a growl coming from the engine. The noise only appears when you turn the wheels. This sound is coming from a Power Steering Pump that is going dry.
Once all the fluid drains out of the Power Steering then you will start to build muscles like Arnie. The steering wheel will no longer turn easily.
If you drive for any length of time i.e 5 or more minutes with no fluid in the Power Steering system you run the risk of Killing your pump by burning the seals in it. You see the fluid helps to keep the pump cool and without it you are looking at a new pump and also increased wear on your steering rack which would eventually lead to a new steering rack.