If you buy the game when you install I believe it will install via Steam (I am not 100% sure but when I got Football Manager 10 I was given the option to install it via steam and it then adds the game and updates automatically to your game list).
You won't be required to download the game itself then but you will still need to allow Steam to update the game to be able to play online on it.
@ssjdragonslayer: You can add them as a shortcut in steam, but you can't actually activate them with steam. Some non-valve retail games have steam installs (e.g. Modern Warfare 2), but most don't. There is a list of retail games that are steam-compatible here.
Log in to comment