I have a ford fiesta 2001 model and when I brake the steering wheel vibrates up and down not side ways I have had the alignment done and checked the ball joints and CV joints that is fine as well as the wheel bearings
I've experienced this on a Ford Escort RS Turbo and the source of the vibration was traced to a warped brake disc.
This was exacerbated on this particular car as the wheel design meant one side of he car would force cool air across the brake and on the otherside, not. This was the side that warped the disc. sadly with alarming regularity.
As Zaid says, it is possible that it could be an out of balance wheel, in improperly inflated tyre or it could even be a loose wheel bearing on the rear or worn engine mounts but my first port of call would be to have the brake rotors turned on a brake lathe and replace the pads.