If you don't already have a Steam account, it's free. But comes with the caveat that since 18 months ago, the Steam client has been a health risk for people with migraines, epilepsy, vertigo and a few other conditions, with Valve refusing to address the problem except by blocking access to the older (and safe) versions which were still usable for a while if you disabled auto-updates.
If you don't have any of those problems, once you have a Steam account and the client installed, you can use the "games" menu and there's an "activate a product" button which lets you enter the key.
Otherwise, get in touch with support and get a refund, then buy the game on Epic or something instead.