Verifying your email address with Steam improves the security of your Steam Account. Once you've verified your email address with Steam, both your Steam Account password and access to your email account are required in order to make any changes to your Steam Account credentials, such as your password and contact email address. This helps further protect your Steam Account from being stolen by a potential phisher.
Verifying your email address with Steam is a simple process:
If you do not receive the email message from Steam Support and you are running a Spam filter, check and make sure the message has not been filtered as spam.
If you no longer have access to the contact email address associated with your Steam Account, please contact Steam Support.
Once you have successfully verified your email address, it will be indicated as Verified in your Steam Account settings.
A Steam Account associated with a verified email address will behave a bit differently each time you make any changes to your Steam Account credentials. Steam Support will send an automated email message containing a confirmation code to your contact email address each time you begin to change your Steam Account password or contact email address. This unique code must then be entered into Steam in order to complete the change to your account.
Your email address will also continue to be used to communicate with you regarding your transactions on the Steam Store, and to assist you in regaining access to your Steam Account, should you ever need help with that.
For more information on how to ensure the security of your Steam Account, please see the Account Security Recommendations guide.