not all games can be registerd with steam
try installing the game through the disk and not steam
for example i bought the witcher 2 for £8 from morrisions, it was one of the ones that cant be activated over steam
if you buy it through steam oviously it will activate through steam, ive got a couple games i bought from local shops that activate fine with steam
others wont
look through the pages of steam support on common questions. its normal for this to happen