Instructions
Uninstall any current version of "GTA IV" because it needs to be installed through Steam, otherwise Steam does not recognize it as a legitimate game. You may be able to remove it by going into Steam, right-clicking on the game and selecting "Delete Local Content."
Insert the first disk into your computer. Do not install anything yet, so close the installation dialogue and close Steam if it opens.
Press Windows keys "+ R" to open the Windows run dialogue. Type in "C:\Program Files\Steam\Steam.exe" -install E: and replace the directory with the location of your Steam file (if this is not it) and replace E: with the letter of the disk drive with the CD in it.
Click "OK." Steam will open and ask you to log in unless your password is saved. Once you have logged in, the game installation will start from the disk and the game will appear in your Steam library.