If you bought Call of Duty: Modern Warfare 2 off of steam, then you should of downloaded both the games that came with your purchase. Download "Call of Duty Modern Warfare 2 - Multiplayer" and start it up and you will be directed.
If you bought it on CD, then you should be able to start up the game itself and play Multiplayer from the menu.
Correct me if I am wrong, because I have never bought it by CD.