I don't have a CD key, or I don't know what a CD key is.

Although Steam itself is free, you need to buy the games you play under Steam. You can buy them at your local software store. When you buy a game, it'll come with a CD key that you can use to play the game with Steam. The CD key is a 13, 20, or 25 digit serial number printed on the CD case or the manual.

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