Im sure tons of people will have the same problem.
You have the demo of your steamaccount, bought DVD and now you try to install it, but STEAM starts a download.
Now this problem is caused by the demo you have on your account and the Autostart function of your Computer.
Just go manually on your DVD-drive and start the install from there manually.
Thats it! After install you go online on steam and get the patch.
I did copy this from the totalwar.com forum. It might help as well...Log in to Steam and click on Library.
Right-click on the game, select Delete local content, and confirm.
Insert the first disc into your computer.
Close Steam (Steam > Exit).
Press Windows Key + R to open Run
In the Run window type:
"C:\Program Files\Steam\Steam.exe" -install E:
Replace E: with the CD/DVD drive you are installing from if is not correct.
Replace C:\Program Files\Steam if your Steam installation is not in the default location.
Press OK. Steam will launch and ask you to sign in if you do not have your password saved. Your installation should continue from the disc.
Note: Some people reported, that it didnt work the first time! If the download start again, do the same procedure another time. Right click game, delete files from HDD and so on....