Hmm, I bought my copy thru Steam, so don't exactly know the format of how they deliver the retail version.
My guess would be:
Install CS:CZ and the deleted scenes
Install and run Steam
Double click on CZ (may be greyed out may not be)... I guess it will hopefully ask for your cdkey or pick it up from teh registry and then hoipefully try and convert your existing files into a steam cache, downloading the update too.