Valve games purchased online through Steam do not include or require a CD Key.
CD Keys are issued with many third party games. In many cases, Steam will display your CD Key when you first launch your game. If your game launches and asks for a CD Key you do not have, please try the following:
If your game did not come with a CD Key where there should be one printed, please see the Contacting Steam Billing and Support topic for instructions to contact Steam Support.