You have to have the Steam Client installed. And I am assuming you have the key.
In the image, note the Games menu at the top of the Steam Client. Select that, Click on Activate, You have to click next a couple of times to pass the warnings and agreements. Then you will need to copy and paste the key where they request Product Code.
Regarding bugs, there has only been one platform specific issue thus far, and that was a Linux display startup issue. But if you have an issue you can create a new thread for it. I have been meaning to lock this thread as it is jumbled.