It's a psychological condition called synesthesia. Basiclly the senses muddle and when you hear something you also see something. It's not that common at all and can take forms in several different ways. For example a case may be where a person suffering from it hears a sound and an overwhelming taste fills their mouth. However if you do have it then the only effect people who have had it said it has on them is possitive creativity.

A good way to deduce weather or not you have it is do you also see colours and associate them with certain letters? And would you find it incredibly hard if not impossible to describe the kind of shade of purple beyond dark or light?