Chunk's advice is pretty good, but the terminology is a little off. Brake rotors are very seldom out-of-round, but are aften warped. A warped rotor can cause the steering wheel to shake. I have also experienced steering wheel shaking when braking wth a rotor that had a rusty patch.
In either case the rotor can be resurfaced - a machining process that gives the rotor a uniform braking surface.
I have also experienced steering wheel shaking when the front wheel was bent. In one case it was a manufacturing defect (the bolt holes were drilled off center), in another case the wheel was bent when someone hit a curb. In both cases, the wheel had to be replaced.
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