Confusing stuff isn't it? OK, here is da' scoop.
The steel is a steel rod. Normally should be included with most kitchen knives sets. The true sharpening steel is not for removing metal. There are some out there that are ceramic or diamond dust coated, but those remove metal. The purpose of it is to simply realign the edge. When you use a knife and it dulls, the dulling isn't always the wearing out of the metal, it is because the pressure has caused the edge to deform or bend. The steel is just used to realign the edge. Take the knife and place the edge against the steel at approximately the same angle (or a little bit higher) as the edge is sharpened. Pull back gently a couple times. Switch sides until you have realigned the edge. You can probably do a simple realigning with the steel before you need to actually resharpen a knife (abrasive metal removal). By "pulling back", I mean you pull the edge the opposite way you would on a sharpening stone. You cut into the stone with a sharpening stone, and you pull back on a steel. Same motion with a strop. Some people prefer to cut into as if it were an abrasive stone, but my experience is that pulling back is more effective.
A strop is a piece of leather, usually charged with a light abrasive compound. I use red rouge, but some people prefer chromium oxide or some other light polishing compounds. The motion is pulling back, as in a steel. The purpose of a strop is to either: 1.) polish or 2.) remove wire edges and burrs.
Without abrasive red rouge or chromium oxide, the strop works very very slowly or doesn't work at all. Still, some people report good results by stropping on plain leather with no abrasives or just using jeans or something. After abrasive sharpening, a lot of people use a strop. It will remove a miniature micro-burr/wire edge that you may have left on there with the stone. I don't believe it is necessary after sharpening steel usage though.
Almost all leather can be used as a strop. I got mine from a shoe repair shop, as did many other people here.
If you need any further assistance, I'll be glad to help. I will post diagrams/pictures to help you figure this stuff out soon.
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Chang the Asian Janitorial Apparatus