Steam is how the games content is delivered. Even if you go out and buy the game at the store, you still have to download it from Steam. Seems silly I know, but it works. You will also have to create a steam account.
The good thing about Steam is all updates and patches are automatically downloaded and installed, if you so chose. Which is good for gamers because you don't have go searching for updates, it's all right there in Steam. And you can buy the latest games from Steam as soon as they are released. Actually you can preload games before they are in the stores, so they are ready to be played the moment they are officially released.
Steam has it's ups and downs.
HL2 is worth the effort.