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https://support.steampowered.com/kb_article.php?ref=5357-FSQM-0382
There's no reason to complain, because it's as easy as putting in the serial code from CDs on old games, except here, you only have to do it once while with old games, you had to every time you installed.
You don't need to do those quoted steps I posted above.
You could have just purchased it on Steam instead of in a store and be playing it already.
I'm not sure how you could have one of the oldest Steam accounts (not that we can tell since your account is private) without knowing how to add a game via a code.
Since you seem unwilling to look for directions yourself, and I'm feeling helpful, I'll give you this last bit of help:
1. Find the game key code in your Thief box. It should look like one of the following:
2. Click the "ADD A GAME..." button found at the bottom left corner of your Steam window.
3. Click the "Activate a product on Steam..." text.
Follow the instructions you find there for completing the registration process.
After that, try running your install executable found on your disk.
As to that, the game's publisher isn't responsible for Steam's interface, and they shouldn't put detailed instructions in their game box on how to input the game code, because Steam could later on change how they complete that step, and the instructions in the game's box would be incorrect.
Instead, they leave it to Valve to describe how to explain Steam's process. Which they have here.