oh you dont need to download anything specific to play it online...what type of internet connection do you have? are you sure that you configured it correctly at the steam options? and if it doesn't work , try doing something else for a while and then connect to it again...same thing happened to me once and waiting for like 30 mins and then connect helped
and do you have a firewall? add steam to your "exceptions" list so the firewall wont block your program ....go to control panel > network connections > right click your main connection (not the one that says "msn" in it ) and then click properties > and then windows firewall > and then go to the exceptions tab (this is for windows xp professional edition , service pack 2 btw ) , but other operating systems are similiar
or use a spyware/virus scanner to scan your pc to clean the bad stuff in your pc because sometimes these stuff can hijack a program in your pc
hope that helps