Hey, now! Don’t dump on Steam. To paraphrase Churchill, “it has been said that Steam is the worst form of software distribution except all those other forms that have been tried from time to time.” 
If you’re annoyed with Steam now, just wait until Steam Support refuses to refund you.
Yes it is Windows only. For future reference, there’s a list of icons beside each game title in Steam that shows what operating systems they will work on. Unfortunately they probably can’t simply prevent people with Mac OS from downloading Windows games because that would annoy people like me who use Mac OS Steam app to download Windows games to play on my virtual Windows machine.
Hopefully they give you a refund.
After a few minutes trying to navigate the Steam Support site, I’ve decided that the aggravation is not worth $20. Life is too short and I can spare the money.
(I’m going to go out on a limb and guess that “how do I get my money back?” is a Really Frequently Asked Question, but not one that they choose to list.)
Their policy is listed in the General Questions section:
While that is their policy, there are many anecdotal user reports indicating that they occasionally make a one-time exception for non-installed games.
Missed edit…
The first step is getting the refund is to open a ticket with Steam Support. Categorize your ticket in the Purchases and Payment category and (nicely and calmly) just explain what happened. If you are patient, non-abusive, and non-demanding, you have a good shot at getting your money back.
I LOVED Rise of Nations - it had all of that, went from stone age to modern age, and had a cool mechanic that depending on the level of influence your boarders would expand allowing for building in other areas and attack and defense bonuses. I never understood why it wasn’t more popular.