Even if Steam is in Program Files, issues can occur. It's how UAC works. The Steam install would need to be moved. That's what I was talking about.
Ah, gotcha. I think that's less of an issue with Windows 7, but I guess we don't know what OS the OP is using.
OP, try running the standard TESV.exe file (found in Steam/steamapps/common/skyrim). If you get a d3d file missing error, you know you need to install the latest version of DirectX. If something else happens, well, then it might be one of the other suggestions here!