Don't you need some kind of a cracked version of the game for that? I don't know if you can play on private servers with a Steam version of a game anyway.

It probably depends on the game and how they store server information. For instance, if they hostname for the server that broadcasts available game servers is sitting in a .ini file, you don't need a crack. If it was a hardcoded string in the binary, then you would. Of course some games may also employ other mechanisms to restrict what/where you can connect to, but in a lot of cases I've seen it is a matter of pointing to an IP with a server running.

As an example, Counter Strike: Source stored the servers in a human readable file and you could add alternative servers in the config file without a problem.

And where do you get the software that runs on the servers?

Most server software is emulated but I suspect there might be instances of leaked server software.

In 2007, at least, you could play WoW on a private server merely by changing your config file to point at that server; no crack was necessary. It probably was not worth Blizzard's time to shut down this configurability.

private servers on WoW are illegal, and you might have to downgrade to be able to join one.

Illegal? What law is being broken?

Blizzard actively shuts down people that reverse engineer their servers[0].

[0] http://en.wikipedia.org/wiki/Bnetd

His point is that it's a EULA violation, not a criminal one.