So thing is - I want to have DIRT3 on steam but it's blocked for my country. So I've found a cd in a shop but it says that it's "GFWL" but apart from that, my mate bought a "GFWL" game and it installed it on steam, but still the thing is, will it install it on steam for be thought it is blocked in my country?
Sorry for this late answer.
Codesmasters has finally changed the system from "Games for Windows Live" to Steam in April 2015. According to several online game sources, it should now be possible to activate a GFWL copy in Steam.
One of the source may also be this wikipedia entry.
Only certain games can be added to Steam if you have a DVD copy. Here is a list of games accepted by Steam.
Since DiRT is not in there you will not be able to add it to your Steam game collection (you cannot redownload from steam if you lose your physical copy).
In case you want to buy a region-locked game, you can have a steam friend living in an unlocked region buy it and gift it to you.
I have seen this done in the past, and probably still works. But you need to find someone you can trust or who trusts you to pay up if you want to do this transaction.