Hi There,
Steam is a digital distribution, digital rights management, multiplayer and communications platform developed by Valve Corporation. It is used to distribute games and related media online, from small independent developers to larger software houses. One of the ideas behind it is to help with the fight against videa game piracy. For alot of games you need to have a Steam account, and it is through this that you authenticate using your account so that steam and the game know that it is being used legally.
The steam website is:
http://store.steampowered.com/
From there you can find out more information, download Steam and sign up for an account.
Hope this helps.
Regards
Nobular