https://threatpost.com/steam-stealer-malware-booming-business-for-attackers-targeting-gaming-service/116792/
Short version: don't click on any links in Steam chat. Ever. Also don't do Steam chat with strangers. Ever.
Social engineering is becoming the primary propagator of malware distribution because it's now easier to buy a malware kit and tell convincing lies than it is to learn what it takes to code one's way past perimeter protections.