What is the classification of the drug steroids?

There are two main types of steroids, progestagens and androgens.  There are two types of progestagens called mineralocorticoids and glucocorticoids.  There are two types of androgens called testosterone (anabolic) and estrogen.

Mineralocorticoids are hormones characterised by their similarity to aldosterone and their influence on salt and water balance.

Glucocorticoids are hormones that bind to the glucocorticoid receptor. The name derives from their role in the regulation of the metabolism of glucose.  They are part of the feedback mechanism in the immune system that turns immune activity (inflammation) down.

Testosterone and estrogen are self explanatory.