Some GMG games require their Capsule client, and Steam won't recognize them as retail copies. However, once the game is downloaded, you can just place a shortcut in your Steam library. They will install to the directory C:\Program Files\CapsuleGames. This will allow you to launch the game through Steam without needing to launch the Capsule Client (though I do believe the game needs to be authenticated through Capsule every three days or so).
Yeah, mine's installed on D: since I have an SSD. I'll probably just do that then. Thanks,