How do they get blowing steam (like a steam vent) in a movie?

It's done using a fogger. A fogger is a special machine that you put a liquid (often called "fog juice"), and the machine pressurizes the liquid and then forces it through a small hole where it becomes aerosolized and forms a cloudy, steam-like suspension in the air.

Here is a fogger in action (sorry about the music):

Regular water is not always used because water vapor suspensions are harder to see and photograph and they dissipate very quickly, but some effects in movies call for a much more transparent and temporary effect, so you can thin the fog juice with water. In the extreme, pure water isn't very effective:

Foggers are used in live theatre shows, concerts, rides, etc., as well as movies and TV shows. Fog from foggers dissipates quickly as it is water based.

In addition to foggers, another popular practical effect is hazers. Hazers use a different kind of oil-based liquid and create a slow moving haze that occupies a much larger space and does not dissipate. Haze is used to make laser beams and other light beams visible.

The third major category is dry ice machines AKA dry ice foggers. Those create a very cold mist that hugs the ground and is commonly seen in cheesy graveyard scenes or live concerts. There are also cool air misters that don't use dry ice and get a similar effect.

Note: I strongly suspect that a lot of the fogs and mists and hazes you see in movies in TV are still practical effects and not CGI. To be sure, some of them are CGI these days. The devices mentioned above are not expensive compared to movie budgets and it's helpful to the actors to have the environment be as close to the story as possible. At the same time, some productions require enough CGI for other things that they might as well use a fog/steam/haze plugin real quick to add those extra elements. So it depends.