Does nutritional supplements like whey protein contain steroids? Or, are, they harmful?

No steroids. Supplements bought legally within the US do not contain steroids. Whey protein and other nutritional supplements are generally not harmful, but are also not necessary for adequate muscle development- appropriate diet can supply all you need, and supplements are costly. There are also some supplements, like creatine, that while generally safe can pose harm in selected people.
Whey is steroid free. Whey is a component of milk protein ( casein which curdles in stomach acid) and whey which remains a liquid in the stomach and empties faster. Whey protein does not contain steroids. Whey is a protein and not a steroid.