I think on certain Bundles you're required to pay atleast $1 for Steam Keys.
Also, you get sent an e-mail with a link.
If you click the link it should bring you to a Bundle page where it lists your games and gives you options to Download and to transfer to Steam.
Clicking the transfer to Steam key should work, or bring up a steam-page on your browser for you to sign into to make sure it goes to your account.
From then on the games should appear in your Steam Library to download/install.
I am pretty sure this is how their system works, if I recall correctly.
If there are problems I believe Humble Bundle has a support page that can help.