Verified answer

GTA 4 is not a SteamWorks game, you can't activate retail physical copies on Steam. You would have had to bought GTA 4 on Steam if you wanted it to be added and fully supported on you're Steam Library. Not all games register with Steam (unless it was bought directly from Steam), some have their own clients such as Origin, Uplay, and GFWL that they have to register to instead. Some games, though very few nowadays, don't have to register at all with any DRM softrware.

Some games work, some don't. If it is a game that is required to be activated by steam, then yes you can. GTA 4 I'm sure doesn't work with steam especially if it is a retail version.