It is the first game I install with Steam, I apologize for the "newbie question".
As soon as I installed the game, Steam warned me that I needed to insert a CD-key while initialized the game and asked. The game never asks me something like this. I played until level 6, when the game began to freeze when I try to get out from Megaton (this is not a spoiler, right? ), or when I pass throught a load door. The cause of the freezing is a Windows message, which says: "No disc found in the drive"... It is impossible, I have no discs, It is a Steam version.
I think the problem is that I did not insert the CD-Key in any part of the game.
Where should I put it?

Thanks in advance

EDIT: Grammar and Typos, sorry for my weak English

I've never had to use that CD-key. I think it has to do with Games For Windows Live, which I don't use.

Right-click the shortcut to the game in the Steam window and have it check the game files integrity (in the Properties sub-menu). It might need to fix something that's corrupted.

The files integrity check seems to solve the issue but I did not notice any error message in the process.
Thank you very much, Showler.
I don't know if it is important now, but I forgot to mention before.
I use fose to launch the game and when the problem occurred the first time, it refused to start due to "unknown version of the game".

Thanks again

FOSE not starting may have been a result of the same corruption. It has to be able to identify the specific version of the Fallout3.exe file to work.

Make sure you're careful about running any optimizers or anything that can alter the Fallout3.exe itself.