I installed Steam on my Ubuntu now and for Half-Life 2: Deatmatch it asked wether to install in the default folder or somewhere else. I have Steam installed on Win7 in D: Games PC Steam. And hey, after switching to a Windows desktop after years of using Macs, I could say Windows is just as confusing:P.
Regardless of that, making your Library folder not hidden anymore is a good thing to do, so you can install mods and generally look around at the inner workings of stuff. I found the application support and whatever and click steam apps, then click on my account name, but the folder is empty and it isn't showing everything. I am trying to look for my steam folder things.
