Why did I receive a link instead of the key to the game?

This means that you ordered a Steam Gift. To redeem it you must log in to your Steam account via browser. Then simply copy a link with your Steam Gift to your browser's address bar and click Enter. You'll be redirected to a page where you'll be able to add your new item to Inventory or Library (in this case your game will be bounded to your Steam account).  

If you want to give a Steam Gift to your friend you can simply send him a link you received (in this case don't use it in your browser) or add the game to your Steam Inventory and send it via this platform.