Want to diagnose and fix: Steering Wheel-Belt problem

Hey everyone,
In this cold New England weather there are obvious signs that my car hates the cold. One of them being the awful belt noise that erupts during cold starts. I realize that this usually means a replaced belt. I want to know how to go along diagnosing which belt and then how to replace it.

Here's the symptoms:
1. Awful belt screech when turned on, goes away within 20 seconds
2. Belt noise comes back when turning the wheel to back out of a right driveway
3. The STEERING WHEEL feels like it has no power steering WHILE the screeching is happening.
4. The headlights (when on) dim for about 3 seconds
5. All these symptoms happen when the temperature is below freezing and it's a cold start.

How is the belt screeching connected to the steering wheel bein tough I turn?

Thanks guys!