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If you do not have a Steam account, you will need to download the client from the official website, install it and then create your account. Once you are logged into your account, click on "Add game" in the bottom left corner and then on "Activate product on Steam". After a few clicks on "Next", you can finally enter your CD key, the game will automatically be added to your library and the download will begin.

More information on Steam

To download your game, you must use your game CD key on PlayStation Network. To access PlayStation Network, you need a PlayStation, a broadband internet connection, a PSN account, and a storage device compatible with your console, such as a hard drive, memory card or USB stick. PlayStation Plus subscriptions are compatible with PS5, PS4, PS3, and PS Vita consoles.