As long as you don't have Steam running, when you click on the Fallout NV .exe from the disc, it should pop up a little Steam box but actually install from the disc.
Not true with my issue of the game. There is no such a Fallout NV.exe, only steam crap like Setup.exe (with a steam-icon) or SteamService.exe.
I also found these instructions:
0) Ensure you have an internet connection and Steam installed (there should be a copy on the disc).
1) Open up the Steam client.
2) Click on Library (and "Games" if you don't see your games list)
3) Right click Fallout: New Vegas (or *insert any other Steamworks game you're having problems with*) and click on "Delete local content".
4) Confirm.
5) Insert the first disc into your computer.
6) If a window pop-up prompting you to install the game, click on it and follow the instructions. If not, go to step 7.
This way it seems to work now. So for all who have similar problems note:
First: Install steam, login to your account, register the game, start installing the game.
If steam is so stupid not to look whether a DVD with the game is inserted and then start to download the whole game frrom the server stop the process, delete local content and insert the dvd again.
Now, steam looks at the DVD and recognises that there is a game to install on the DVD.
Stupide!
Anyway, thank you very much!
cheers,
Micha