If for some reason, you can't download a game you've purchased, the first step is troubleshooting. There is a great article here that will walk you through the various troubleshooting tips. Perhaps you purchased a game that isn't compatible with your hardware, or you've had so much trouble with the download that you're ready to give up. Regardless of the reason, you can contact Steam to request a refund at help.steampowered.com.