Dark Tales from México: Prelude. Just a Dream... with The Sack Man

If you do not have a Steam account, you will need to download the client from the official website, install it and then create your account. Once you are logged into your account, click on "Add game" in the bottom left corner and then on "Activate product on Steam". After a few clicks on "Next", you can finally enter your CD key, the game will automatically be added to your library and the download will begin.

More information on Steam