Hi There. This is a problematic for many people and you can actually skip this. If you want to persevere, I recommend downloading the 1.53a version of the Steamworks SDK as it is very stable and easy to build. Otherwise, just move on. This used to be necessary as steamworks was not integrated with Unreal Engine but is now.
Also, have a look at this thread: How I got this working - Unreal Courses / Show - GameDev.tv