How do you join copper pipe to steel pipe?

Depending if you are talking about stainless steel or galvanised steel. Either way, you need to use copper compression fittings, otherwise known as conex fittings in some countries.

Also, you need to be aware of galvanic corrosion if you are connecting copper pipes to galvanized steel pipes. The joint will rot away from the electrolytic action in a few years unless you use a dielectric union or other insulating separation.