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Steam does the patching, not the game. There's nothing you have to do: it should happen automatically you fire up the Steam client, unless you've turned off the auto update in Steam or are disconnected from the internet.
Then something has went wrong during the patching. Use the Steams "verify integrity of game cache" feature. It will check if all the files are correct. Go to your Steam library page and right click over the Crusader Kings II and chose properties. Then chose local files sub section and the button for it should be there. Let it check the files and if it finds any errors it will download those files again. Then when it has finished run the game again and check the checksum. This should fix it.