Ok guys after some playing around I found that this actually works with steam version.
I think steam version does not have autoexec.cfg but if this application creates an autoexec.cfg file inside game directory, the game will use it.
Here is the directory you should use for steam version
X:\Program Files (x86)\Steam\steamapps\common\crysis 2 (Where X is the letter of your drive)
Make sure you launch the application is admin mode as told by wasdie, and also when you hit apply check that autoexec.cfg file is actually created. I can confirm this actually works because I selected no-intro option and now the game does not show any intro movies except the big CryENGINE eye in start, plus the game also looks beautifully crisp now (looks like a PC game now).
Great work wasdie, many thanks again.
Also one more think... Crytek should use "MAXIMUM SHAME" instead of "MAXIMUM GAME", and EA should stop eating money. It is guys like these who are destroying PC gaming.
EDIT: @Makius thanks for confirming that, I saw your post after posting mine. Thanks again dude.