I had to look this up, and I'm sure I'm not the only one with this question.
To enter your steam key:
Open the Steam client on your computer (if not installed, get it from http://www.steampowered.com)
Log in to the Steam client.
Open the Games menu (at the top of the window) and select "Activate a Product on Steam...
In the new window, click Next, accept the Agreement, and enter your key.
Click Next, and you're done! :D