Do you have any games on your account? Try installing http://store.steampowered.com/app/440/ or the demo here http://store.steampowered.com/app/22000/
It sounds like this is because you don't have any games in your account. Download some games from the store. Please re-open if it still occurs.
Nothing extracted yet.
When I try to start the linux game client, it comes up with "We've come up empty.." and lists no games for LInux, or any other platform for that matter...