Hm, that is weird. Can't you just browse the DVD and try to install the game manually using the .exe file? Or does the steam installer also pop up if you click on the .exe file?
As far as i see there is only a steam Installer on the DVD maybe i try the second DVD.
Edit: No nothing on DVD 2 either! That is really annoying!

Can sombody say how it is with the GOG version? Can i install it without installing Steam?