Steve is a long-time friend of the Virginian--maybe his oldest friend. As the other members of the posse say, "you was thick with Steve." Nevertheless, justice must be done, and both Steve and the Virginian understand that.
The narrator arrives several days early, right after Steve and another rustler have been captured, and everybody is uncomfortable.
Even Steve, who tries to make the narrator feel at home. The narrator is so touched, that he lends Steve his newspaper, which Steve devours avidly, even though they are his last hours.
In the morning, doomed men and those who are going to kill them sit down together for breakfast. Steve relives the chase through the Teton Range of mountains, and ends by marvelling "What a strong combination we were!"
Finally, the Virginian speaks for the first time: "Nothing is stronger than its weakest link." So true. The band of rustlers was caught because one of their number made the fatal mistake of lighting a fire, giving away their location.