You'll want to use a listen server (started using New Game) instead of a dedicated server, so be sure to choose that in the AMX Mod X installer if you are using the automatic installation method.
If I understood correctly you want to play CS1.6 on Steam, but you do not have the game, right?
If so, and if you have a no-steam version of CS1.6, you can use some program that emulates LAN over the internet(Hamachi is one of them). All of you install it, connect to each other and then you can enjoy the game with only your friends.
Best Answer
First, you must download the maps. There are several good online sources for them.
To install them, follow the instructions in this faq
Most maps you just extract in your counter strike 1.6 folder, which is located at:
If the map is not packaged properly, then you'll have to place the individual files into their respective folders.