Try looking under the "Game" menu.
There is a "Activate Product on Steam..." option. It then prompts you to type in your product key. That allows you to import non-steam game purchases using their key to be activated within your steam account.
Then given that it works, it will either present you with the installer options or will add the game to the "My games" tab so that you can download and install it.
Check their help pages here:
https://support.steampowered.com/kb_article.php?ref=7480-WUSF-3601
It has a list of some supported products and may point you in the right direction if you have more questions