Short answer: You need to enable Steam in your game options settings and input the Steam app number into the 'Executable Name', download SDK_142 and point to its location via Preferences > Platform Settings > Steam > Steam SDK location.
Long answer: I'm not sure what stage your game is in or whether you have signed up with Steam yet, but here are a few of the steps if you haven't: [Please ignore this answer if you are familiar with Steamworks already]
1) Sign up with Steam on their developer program and pay the 100 dollar fee.
2) Then you will have access to Steamworks, where you will find many tutorials on how to upload your game.
3) In Steamworks find the SDK_142 build and download it - not the latest SDK.
4) If your game is not very large you may be able to upload it to Steam via a zipped file.
5) Get the app number from your Steamworks game's app dashboard, then input this number into the GM2 Steam settings & enable GM2 for Steam.
6) After building your store page within Steamworks upload a build via SDK_142 and test it.
Here's the downside . . . a lot of tutorials you will find on how to upload your game to Steam using GM2 are either outdated or don't cover all points. This is because Steamworks changes and also GM changes with updates etc, so it is a bit of a grind looking around for bits of information on this and that, then piecing it all together, but the next game will be considerably easier as you will have gone through all the steps.
I'm not going to sugar coat it . . . it's a laborious grind, with many steps, check out the link below to see what I mean:
Step by step guide to getting your game on Steam
Once you go through this though you will have your game up on Steam and it will all have been worth it
Here are a few other links that may help you:
Steamworks guide to uploading your Steam game
Publishing your game on Steam overview