You don't like to start with easy things, do you. Okay, lets start with Steam.
The first thing you need to do is download the Steam client installation (SteamInstall.msi). I recommend saving it to your home folder. Once you have downloaded it, do this in a terminal to start the install:
The install should progress just as it does in Windows. After the install, Steam will launch and may fail to update at 26%, if it does, do this:
wine msiexec /i SteamInstall.msi
Once you've got it installed, post back and we'll move on to the rest. I may not be available to help for much longer, but there are plenty of people on these forums who can assist further.
wine SteamTmp.exe SelfUpdate "C:\Program Files\Steam\Steam.exe" 14
EDIT - I just did a check on Wine's AppDB (the Wine Application Database) and both MySpace IM and Media Monkey won't run in Wine. There are plenty of IM alternatives available on Linux, but I don't know if they are compatible with whatever protocol MySpace uses. As for a media player, there are literally dozens of alternatives available on Linux, but they do require you to install some proprietary codecs before they will support wma playback. If the files you are trying to play have DRM applied to them, you won't be able to play them at all in Linux.