Steroid hormones are a class of hormones that are derived from cholesterol and are lipophilic (fat-soluble) in nature. They can easily pass through the cell membranes of target cells to bind with intracellular receptors. Common examples of steroid hormones include cortisol, testosterone, and progesterone, each involved in different regulatory functions in the body.

Cortisol (Option A) is a glucocorticoid hormone produced by the adrenal cortex. It is involved in the regulation of metabolism, immune response, and stress response.

Testosterone (Option B) is an androgen hormone primarily produced in the testes in males and in smaller quantities in the ovaries in females. It plays a key role in developing male reproductive tissues and promoting secondary sexual characteristics such as muscle and bone mass, and the growth of body hair.

Progesterone (Option C) is a hormone released by the ovaries and is important in the regulation of menstruation and maintaining the early stages of pregnancy.

Glucagon (Option D) is fundamentally different from the aforementioned hormones. It is a peptide hormone, not a steroid hormone. Glucagon is produced by the alpha cells of the pancreas and works to raise the concentration of glucose in the bloodstream by promoting gluconeogenesis and glycogenolysis in the liver. Unlike steroid hormones, glucagon does not pass through cell membranes but binds to receptors on the cell surface.

Thus, the correct answer to the question is Option D: Glucagon, as it is not a steroid hormone.