I've got problems when I want to play at,in,over(?) Internet

When I want to play Esf in, over, at (or whatever) Internet. There's always a mesage, which says I should enter my Key code, which should be on the front of the CD(?).
I've tried everything but it doesn't work and now I have to enter my Key code every time I want to play or even when I want to start ESF.

I really want play Esf in, over... Internet and I'm really frustrated , so please help me

what u do is first

1) Buy half-life, cs retail, whatever
2) Install steam
3) Install esf
4) Play

chances are ur missing step one

cd keys are on the cd case not the cd itself

Thanks for your help!
I think this thread isn't helpfull for the other, so can you close it?