Steam is what water becomes when it's heated to boiling and begins to turn into a gas. On a cold morning, you can really see the steam rising off your mug of hot chocolate.
The steam we can see is water vapor, made up of the tiny water drops that form while water condenses. People have put steam to work in many different ways, including cooking, cleaning, and even powering trains and boats. If you "let off steam," you express your frustration or anger to calm yourself down. If you "lose steam," you lose energy or enthusiasm.