Do not try to install any Steam program by using the DVD that you bought. Just install Steam through the Codeweaver's setup (CrossOver download self the Steam application on the Codeweavers servers, creates the bottle (Win2000) with all the parameters correctly sets on, and installs Steam).
Then, while in Steam, click on "register a product". Gives Steam your serial number found in the box and let Steam download all the stuff.
Beware that you ought better to disable all "energy savers" while download is in progress, as it could break the download. The download can however be resumed by Steam, but you'll take a big amount of time if your 3 or 4 Gb should be downloaded by periods of 30 minutes !
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