If you get an error message saying that Steam cannot connect properly, please check your ports. Steam requires that your firewall have the following ports open:
UDP 1200
UDP 27000 to 27015 inclusive
TCP 27030 to 27039 inclusive
More info at http://www.steampowered.com/index.php?area=faq (http://www.steampowered.com/index.php?area=faq)