I think the first thing I'd like to establish is whether or not you actually redeemed your free game code. In my experience, you've never had to register with the manufacturer to get the free game code, but maybe EVGA is different. Did EVGA actually state that what they sent you is a code for Steam?
Now, if they did, here's how you do it.
1) Open Steam
2) Click on "Library" at the top.
3) Click on "+ ADD A GAME..." in the bottom left.
4) Select "Active a Product on Steam..."
5) Hit Next
6) Hit "I AGREE" (if you agree)
7) Enter the code