Telltale has been having server issues, so the first game isn't available for download yet. To make up for this, they have been emailing everyone who preordered the game and giving them a Steam code so that they can download the 1st ep through Steam while they sort out their server issue.
Check your email (the one you have associated with your account). If you don't see an email from Telltale, check your spam/junk folder. If you still can't find a letter from them, check out this thread
, Be sure to read the 1st post before you post!