If you were doing this alone and didn't care about the liability protection of a company, then I'd say you could do it in your name (called a sole proprietorship in the U.S.).
But since you're doing it with a friend, you most definitely want a company or some sort of partnership agreement. That will formally and legally spell out how you and your friend will work together - how you'll make decisions, how the money will be split, etc. I've heard far, far too many horror stories about people starting an informal business with a friend, and when the money starts rolling in or trouble brews, the "friend" screws them over. I'd worry about that more than any requirements Steam has.
For more specific advice, you'll need to tell us which country you're in. And in the U.S. also which state (though that's less important). A tech forum probably isn't the best place for business advice, but I'll help if I can. Starting a business is no small undertaking, and you may not be happy to find out that the majority of your time is spent running the business (government forms and filings, accounting, business contracts, marketing, etc) than actually doing the thing you started the business to do. The common pattern seems to be that the first company you start fails miserably because you were completely unprepared for all the additional tasks that need doing to run a business. But the second company you start usually turns out OK because now you know.
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