Steam (http://www.steampowered.com) is a software content delivery system developed by Valve software (http://www.valvesoftware.com). There is some free software available, but for the most part the content delivered is non-free.
The Steam Console Client or SteamCMD is a command-line version of the Steam client. Its primary use is to install and update various dedicated servers available on Steam using a command-line interface.
This package comes with a fairly substantial non-free license agreement that must be accepted before installing the software. If you have any opposition to non-free work, please select "I DECLINE" during the package installation dialogs.