Gog user here. Larzare's suggestion is unfortunetly incorrect. I have done this and still LAN and direct Ip is all thats available. Larian have said that you can connect to Steam users by direct ip only.
I myself am furious as this was the intent of my purchase. I cannot get a refund as Ive downloaded the game. The only way I was able to find out for myself.
Bitter ...yes.
