There are three states of profile privacy: Public, Friends Only, and Private. Each state has additional subcategories to control how you appear to other members of the Steam community.
If you are logged in to Steam, you can change your Privacy Settings by clicking here.
Alternatively, you can navigate to the Profile Privacy Settings page manually:
From your Steam Profile, click the Edit Profile link under your displayed badge.
Click the My Privacy Settings tab
Then select your privacy state
If you have any issues with this process or you need any further information regarding Steam's Privacy Settings, you can contact Steam Support here.