yeah, then in the future if you lose the cd or something, steam will know that you had a legit hl, so then you can dl it for free later, but that's just later.
Just install your hl under a directory similiar to this:
C: \steam\SteamApps\
username\half-life
there where the bold "username" is typed is the folder with the rest of your games, so install it under there, then do what grega said and insert the cd key where needed, then install esf under the hl directory and I think that's it!