Midori, as long as you have the game and an activation code, you should be able to activate it through steam. At the top of the steam screen, click game and the very first option is to activate a game on steam. From there you just put in your activation code found on your booklet or game case.
Steam is a cool application because it is a game manager. You don't actually have to have bought the game from them, to install it with steam. You do, however, have to make sure that Steam sells the game. As long as steam sells it, you can activate it on steam.
Episode one is actually an expansion. It continues the story where HL2 left off. Similarly, Episode 2 picks up where Episode 1 left off. I believe Episode 3 is in the works if I'm not mistaken. I'm so ready to dive into Episode 2, I've been dying to know what happens after 1. BEST SERIES EVER!!!!!
By the way midori I'm sorry, but I've forgotten all about Two Worlds and I give you my wizzard's guarantee that it will be in the mail Monday afternoon and you will received it by the end of the week. =)
My versions of HL2 and Episode 1 are now gone, but I still have a guest pass to Team Fortress 2 for 3 days if anyone would like it.