That isn't how it works in my experience. Once ordered you should be able to see the key under My Account > Purchase History and then click on the appropriate order number or sent via email. Once you have the key just open Steam click the Games drop down menu top left and use the "Activate a Product on Steam..." option entering the key when requested.
The key will the activate to the Steam account and you can download the game as normal through Steam.
Great, thanks for the info.