Profanity: This, assuming you are from Europe:
http://www.playonline.com/homeeu/polshift/

or this, assuming you are from USA:
http://www.playonline.com/homeus/polshift/

I have no real experience in this matter, I don't have final fantasy. This is what I've got from a google search. Moral of this story: When in doubt, first thing you should do is use google.

Profanity: Use the "If you already have a Square Enix account...".

Press the big red Transfer PlayOnline ID to Square Enix Account. It asks you to login with your Square Enix accounts afterwards - do that and see what happens next. As I don't have neither of those account, I can't say.

ExecB5: already did that, it's no use, cause they are already assuming that you have a playonline ID, which I don't, but when you launch the game and the playonline aplication pops up there is no option to register either, actually there is, but when you click it, it shows the link that you posted. It's a fucking maze!

Profanity: Try checking the keys that steam sent you, it SHOULD be there. Also, it is possible that the playonline registration server is down.

I'll try creating a Square Enix account and check a little further.

Profanity: Once again press the the big red linking button, it should take you to your account:

There's a white button on the right, that has the "PLAYONLINE" sign, and there's red writing under it saying "Add new PlayOnline service account."

When I press it, it takes me to some log, with a button next, I of course press that. And THEN, it takes me to the part where I need to enter my PlayOnline registration code, which I bet it's the CD KEY given to you by steam. Try entering it.

If the keys don't match, I think you'll have to contact the support... both Square Enix and Steam.