*You* have to do something. Likely, some misconfigured firewall or other so-called "security" software interferes with Steam's network connection. Get that fixed, and Steam will stop complaining.

Ok

Generally this is your local firewall blocking outbound connections to steam.

Or it can be an issue with your DNS provider where it cannot resolve certain addresses, this can be generally addressed by using something like GoogleDNS or OpenDNS for DNS queries

If you have software firewall such as an old version of Zonealarm that requires you to allow steam outbound, that could be the issue. Also assuming you can browse internet Ok, if not then obviously a local NIC, router or ISP issue.

yes