I want to be clear here (and possibly clear up some misconceptions). A steel will keep a knife sharp. A steel will do nothing for a mostly or very dull knife. A steel DOES NOT sharpen knives. If you have a sharp knife and properly use a steel every time you use that knife, it will remain properly sharp 2 - 3 times longer than if you don't use a steel. This is, of course, a generalization and is variable depending on how much and how properly you use your knives, but it gives you an idea of the benefits of using a steel.
Note: I wouldn't recommend using a steel on serrated knives, especially the cheap knives with very small serrations (the 'miracle knives' that are on infomercials).
Step 1: Why it works
The first is a sharp knife, this is what we're trying to maintain.
The second is a truly dull knife. Using a steel on this edge will do nothing - you're wasting your time.
The third is a 'dulling' knife with the edge rolled over to one side; the very tip of the cutting edge deformed by normal use (even just a few cuts can do this). After using a steel on this edge, the nice cutting edge of the sharp knife will be re-gained. If not righted, the knife with an edge like this one will continue to deform and pretty soon you'll have a dull knife. NOTE: Because it's so small, you can't really see this deformation. Just because you don't see the edge of your knife deforming in this fashion doesn't mean it's not happening!