ClOD trying to download from Steam when CD is in drive

[Osprey]

This is doing my head in. I pay extra for the collectors edition and follow the instrauctions - FINALLY, and here's what happens:

1. Start the install, told I need to make a steam account, I create it through the UI which is successful. Then it falls over immediately saying that it 'cannot delete steam.exe'
2. I restart the setup.exe and install, then the steam thing appears again, only this time is allows me to put in the code and this is successful, then it moves to the install but fails again with another bloody steam error
3. Try setup again, different screen appears and an install option appears, great. But no, even though I have a CD in the drive it starts downloading the game. IT'S 4+ GB - I have ADSL!!!!

I am honestly livid - it just plain won't let me install game I have paid for. Help please