Coz is right that 'steroids' is a really a collection of several kinds of hormones, each with their own activities. (Hormones act like chemical messengers.) All of these classes are naturally found in the body. The ones we manufacture simply mimic the the naturally occurring ones.
Corticosteroids (glucocorticosteroids) are the ones we most prescribe. They can be given by just about any means one can give a medication. The names and brands are many, and include hydrocortisone ("cortisone," such as found in many OTC creams), prednisone, medrol, etc. We primarily use them to reduce inflammation. They are more potent that ibuprofen, naproxyn, and others in another category of medications we call "non-steroidal anti-inflammatories" or NSAIDs for short.
In short courses corticosteroids are wonderful in calming down cases of poison ivy, asthma, bursitis, tendonitis, arthritis, etc, but in the long run they can cause major problems.
Coz was a little off as to how they can result in ruptures of tendons, though. It happens because of wasting of the tendon, thus weakening them. It can cause wasting in other tissues as well, including bones whereby one can get osteoporosis. There are many other potential side effects and issues, particularly with long term use, but they are great drugs if used prudently and in the lowest dose and shortest course required.
Anabolic (or androgenic) steroids are the ones people use to bulk up muscle mass. I suppose this is the kind of 'steroid' to which Alberchico was referring. These are derivatives of testosterone (which are derived from progesterone), are considered 'sex' hormones.
They are associated with some nasty effects. Rather than go into all of that, I refer you to this link:
There are also the mineralocorticosteroids, such as aldosterone, which deal with regulation of salt and water balance.
Class is over.