Order of War setup should Autorun as soon as you put in the DVD. If it does not run then please follow these instructions:

Click on Start
Select My Computer
Double click on the DVD rom drive
Double click on Setup.exe

It will prompt you to enter your steam account details to finalise the install.
If you do not have a steam account you will be prompted to create one so that this game is linked to your account.

Alternatively it is possible to download completely from Steam but this may take a while as it is downloading all 4+ gigs of data.

To download from steam if you do not have Steam already installed.

0. Go to the steam website http://store.steampowered.com
1.  Download and Install the Steam client then create a Steam account
2.  Click on the "My Games" tab and click on "Activate a product on Steam"
3. Enter your product code.

or if you have a steam account already simply:

1. Run Steam
2. Go to the My Games tab
3. Click on Activate a product on Steam
4. Enter your product code.

This will then download the game and notify you when it is ready to play.