» Wed May 09, 2012 8:30 pm
No, you don't have to download.
To be sure it doesn't try to, sign up to and install steam first via their website. Don't do it from the disk yet.
Then once Steam is in and updated, install the game from the disk, it'll ask you to register the cd-key with Steam and assuming you didn't get something wrong will install from the disk.
Some people have found that starting with the disk, installing steam from the disk and then registering the game causes it to start downloading.
edit: You'll still need to download the latest patch for NV but that'll start automatically once the installation is done.