STEAM SUCKS!
It did 5 years ago - now its just its users suck at Steam
(Seriously, I aint a fanboi, but my only issues have been the same ones most had with Hl2 way back and nothing since).
Anyways, which edition did you get?
If one with extra units - special forces edition, the code for the actual game is on the back of the manual not on the flyer - thats the code for the special units.
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Also steam isnt being silly and trying to download the game while you install it all is it?
if so do this:
If ETW is appearing to download from Steam instead of installing from the retail disc, please try running Steam with the following:
Steam.exe -install d:
(eg in case the DVD is in the D drive)
Also check this thrwead on yuku:
http://shoguntotalwar.yuku.com/topic/45171