I just got the anthology from a friend at work and I had a couple questions.

1. Does the oblivion game come with all the add ons that are in the deluxe edition or just KOTN and Shivering Isles?

2. What is that steam code for that is included? Does that mean, if I plug in that code, all of the anthology will be on my steam library?

The Deluxe Edition of Oblivion is only available via Steam. The disc version in the anthology (or anywhere else) is only the GotY version with KotN and SI. In order to allow people to get the extra small DLCs, Bethesda included the Steam code so that people can activate it and download the Deluxe Edition from Steam rather than installing the GotY version from disc.