Hmm, there were a few things I remember having to install to get Steam working.
Make sure you have:
Windows non-free fonts
I'm not sure exactly which browser was required, either a mozilla plugin or ie4linux if I recall.
Also, take a look at PlayOnLinux
, they have automatic scripts set up to get common games running under wine, as well as offering different versions of wine all-in-one. Also, if you don't have the non-free graphics drivers installed, you'll find a hard time playing any 3D games.
There are guides on here. If you're using an nVidia, you shouldn't have too much trouble.