Go to: http://store.steampowered.com/ and download STEAM client

Click "Install Steam" (from the upper right corner)

Install and start application, login with your Account name and Password (create one if you don't have).

Please follow these instructions to activate a new retail purchase on Steam:

Launch Steam and log into your Steam account.
Click the Games Menu.
Choose Activate a Product on Steam…
Follow the onscreen instructions to complete the process.

After successful code verification go to the "MY GAMES" tab and start downloading.