Start by heading on over to http://store.steampowered.com/ and select Install Steam on the top right hand corner.  During its download process, make an account if you haven't already done so.

After installing Steam and Launching it you should get this menu.

Go ahead and login.  When you done so this should pop up.

At the bottom left hand corner select add a game.

Then Activate a product on steam.  Hit Next. I agree and finally you'll see this page.

Enter the CD Key and select Next.  It'll check that you've enter in the right code and then walah.  it'll automatically download and you can find your game in the Library tab.

**If you have a Russian KEY head on over to this link in order to learn how to activate a key via a VPN.