Ah, the "trick" they're using is to set up BIND in such a way that if your computer, for example, tries to connect to cs.steampowered.com, instead of resolving it to the actual, real, internet IP address, it resolves to the IP address of your local
nginx. So you're basically tricking your Steam client to connect to your
nginx instance instead of the "real" address.
Instead of BIND I would suggest using
dns/unbound as it's a lot easier to create those "fake" entries. BIND can be a bit of a pain to set up, especially if you've never done anything like this before.