You pay for and download Steam games on your computer; there may be an option to order a back-up CD that would arrive later, but it will cost you extra and is not available for most of the first player games.
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When you purchase the game, they send you an e-mail with a link in it. This is for a dowmload manager, which will then download an executable file to your computer. When the download completes, you merely run the program and the game installs. You don't download games there. You purchase games there which then get shipped to your house. It's not Steam.
You need to pay to download games from many services like Direct2drive or amazon or steam or xbla. However, demos, shareware, and freeware games are free.
Yes you can, you import and add non-steam games to your Steam library. From within the library you can launch and run any games, although 'Steam achievements' will only be available for Steam enabled games.
Yes, some. Not all of them can be activated on Steam. See the related links for a list of the games that can be activated on Steam and for the instructions on how to activate a game on Steam.
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