Apparently, the PC DVD is Windows and Steam only. It is also impossible to exchange a Steam key for a GOG key, because "the money" went to one organisation and not the other. The only real solution, is to return the game for a refund and buy it instead from GOG directly.
I'm against Steam, because some time ago I did some debug work on their client and I was very disappointed to find some unsettling results. It downloaded all sorts of information from my computer and it stayed running all the time, while at the same time transferring all sorts of encrypted data. Not exactly transparent on what it was doing, so better safe than sorry.
what_else!'s post in PC DVD version not for Linux? was marked as the answer