There are people who think *protein* is a steroid? Bwahaha. We're made of proteins, and so is most of our food.
Steroids are a type of supplement which are hormones and trigger monumental changes in your body's chemistry. Your body produces many steroids naturally (like tesosterone and estrogen). Even cholesterol is a steroid, and that's in your food.
When people talk about steroids they're usually talking about anabolic steroids, or, steroids that make your muscles grow.
Regular supplements can range anywhere from creatine (which is found naturally in your muscles), to Vitamin C (which is in your oranges), to MSM (a sulfur found in your joints). You give your body more of what it already has, in some cases, so you can repair better, feel healthier, perform better, etc.
Anabolic steroids are, for the most part, illegal -- but most supplements are legal and safe to use.