To ensure players have unique names over multiple stores in the future, Sky Nations provides a CD Key with each purchase from all stores except Steam.
You do not need to perform the below steps. Once you've purchased and installed the game. Simply click play from your Steam Library and the first time you play it will ask for a unique name. Please note this is the name you will be stuck with when playing Sky Nations. It cannot be changed. If you have an existing Sky Nations account and want to use that on Steam see Linking Accounts.
You can find this in your game list by right clicking 'Sky Nations' and then selecting CD Key.
On Humble you can find this in your games list.
You will likely find the CD key in your games list on the given site.
You will need to create an account with this key. This is fairly simple and all you will need to do is |visit this page on the Sky Nations webpage and use your CD key to register.