I am an intern at a company where a colleague knows my Stack Overflow account and he just upvoted a question of mine. I was wondering whether this is considered a "sock puppet". I told him not to upvote me because it might be against the rules. He has a legit normal serious account, by the way. So is it considered a "sock puppet"?
A sock puppet is an additional account that you control that you use to vote on your own posts. This is strictly against the rules and you will be banned for voting in this way but is not a relevant description of the situation you've described.
In your instance, we're talking about multiple accounts owned by multiple different people. This does not qualify as a sock puppet but you can still trip yourself up if you don't vote responsibly.
Provided your colleague is not going through your account and upvoting all of your posts, you should be ok. In the instance you're each repeatedly upvoting each others' content this is essentially a voting ring and will also get you in trouble. However, voting on the posts of your colleague like you would any other post on the site will be fine.
Remember when voting: Vote on quality of the post, not the person who posted it.