To add a Steam Account for PUBG you can do one of two things.
Either hover your mouse over the game PUBG in the menu to the left called Games, three dots will then appear (...) - click these to open up a sub-menu.
In this menu, you will find Connect Steam at the bottom, click here to add a PUBG Steam Account.
You can also click the game name, PUBG, in the menu - this will redirect you to the PUBG game page which will look as on the example image below.
You can find the button below the game title on this page, it has the same function as the earlier mentioned Connect Steam button.
The window below will then pop up which will tell you that your Steam profile needs to be Public - it also asks you to enter your PUBG in-game name.
Note: Your PUBG in-game name is the name you've chosen in-game, i.e the name that is displayed over your character in the main menu.
By clicking on the Sign in through Steam button you will be redirected to the Steam account verification page (outside Challengermode).
Simply verify your account on this page (login) and you will be redirected back to Challengermode. You will know when you are done if you can see your Steam account on the PUBG Overview page as on the image below.
Please note: If your Privacy Settings on Steam are set to Private, you will not be able to link your Steam account. After making it Public it may take up to 15 minutes until you can link your Steam account to Challengermode.
If you're not certain about the process of making your Steam profile Public, please follow the steps in this article.