I haven't seen this in ages. Are you guys seriously not using Steam Guard or what?
I've had Steam Guard enabled since the beginning. I've lived in different countries, states, and travel pretty often. Having to verify with the code from Steam is very common for me, and often it has seemed unnecessary, so I treated it like any normal time and just went through with it.
I don't understand why you have posted in this thread three times now with essentially the same message. Not everyone lives in Illinois their entire life; if you received a Steam Guard notification you would be much more surprised than I ever am.