The game -also the Steam version- is Securom copyprotected.
When my retail dvd got damaged (
by taking it in and out the box at least a 1000 times 
) i installed a no-dvd patch. But later i also bought a new copy of the Collector's Edition and btw later also 2 times the normal version, last copies from shops so damnd cheap. Anyway: i just uninstalled my retail game, and deleted the remaining folders (containing the files from patches 1.01 and 1.02). Result: opened Steam, right-clicked the grey Dark Messiah Might and Magic - Single Player > install game > and it goes right away! 
So, solution: delete any no-dvd patches that Securom might notice and unmount virtual drives if you have any.
