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You need to use your your game CD Key on the Playstation Network to download your game. To access the Playstation Network, you need a Playstation 4, a broadband connexion, a PSN account, and a storage device according to your console: Hard disk drive, memory card, or USB drive.
Playstation Plus Subscriptions are compatible with PS4, PS3 and PS VITA.

For Steam CD Keys, you must download (HERE), install the Steam software and create a new account. If you already have a Steam account, once you log in, click "Add a game" (located in the bottom left corner), and then "Activate a Product on Steam". After a few more clicks, you will be prompted to type in your game code. Thus, the game will be activated and automatically added to your account library.