Gamers query

I'm not really a gamer, I wanted to try this particular game. It's a short sort of non-linear style game that piqued my interest a while back and now that I technically have a "gaming" laptop I thought why not?

Anyhow, I found you have to dl the game via a site called Steam. So I signed up and purchased it.

The thing is, the game is quite large (it's talking quite sometime to dl). So how do gamers deal with that? I assume when I'm finished I could delete it and still dl it again from Steam at any time? But any progress would be lost if I did that, like Steam would only hold the game files, yeah? Do you just move the files to an external drive when you're not playing?

I'm just curious as anything game-y is totally new to me.

Thanks!
Xx