Steam is asking to send me Tax Information

If you're not in the US you just have to choose that option and it won't ask you for your tax info, at least that's how I remember it.

Only relevant if you're an US citizen or live there, otherwise you can ignore it and check that box Axelflox was mentioning.

Here's what it says about it in FAQ:

Why am I being asked to provide tax information?

The United States Internal Revenue Service, under Section 6050W of the Internal Revenue Code, requires us to collect certain information from you if you engage in more than 200 separate sales transactions in a calendar year. In particular, if you are a U.S. citizen or resident, you will need to provide us with your name, address and Social Security Number, and if you are not a U.S. citizen or resident, you will need to provide evidence of your non-U.S. status on an online form we provide to you. We will be providing a link to these forms and a process by which you can provide the needed information if and as you approach the 200 sales limit. We may use a third-party to collect this information. You can choose not to provide this information if you wish, but you will not be able to list any items for sale in the Community Market once you meet the 200 sales threshold, and any items listed will be removed. Note that, while we are required to collect this information from you, we are not required to share this information with the IRS under Section 6050W unless you exceed $20,000 in gross sales in the Community Market within a single calendar year. For purposes of calculating the number of sales you have made in a calendar year, all of your accounts will be treated as a single account.

TL:DR: If you're from US you have to give the information, if you're not from US you have to give proof that you're not. If you decline they will prevent you from selling things on the market.