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, you will need to contact the retail store you purchased from to discuss a refund or exchange.