i have been using steam since the day it was publically released.
i have SP2 but not ZA, and i have no problems,
if you purchase a game and reformat, then all you have to do reinstall steam and download the games that you have purchased, they are binded to the account that you used when you set it up, like all my games are bound to my account email@example.com
you can not burn the files to CDs unless you wanted to burn all the cgf files to CDs. the CFG files are what is created when it says unpacking files to hard drive when you first go to install a game.
and i recently purchased the HL2 silver pack, and my steam install with everything installed and preloaded is 8.249mb