You must set up a bitcoin wallet and generate at least one "receive" address, you should use a separate receive address for each transaction (or exchange).
https://en.bitcoin.it/wiki/Using_Bitcoin
Then you can follow the tutorial here:
https://steemit.com/steem-help/@steempowerwhale/how-to-sell-steem-dollars-the-fast-and-easy-way-visual-step-by-step-guide
REMEMBER NEVER GIVE YOUR PRIVATE KEY TO ANYONE!
Only use your private key to Log in to Steemit using the official login.
DO NOT PASTE YOUR PRIVATE KEY INTO THE MEMO FIELD
Memo's are public and anyone could steal your account and your money.
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Steem on!