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https://support.steampowered.com/kb_article.php?ref=5357-FSQM-0382

Follow these exact steps. Make sure Disc 1 is in as well. As you go through the steps at the end it may still showing you as "downloading" -- you're not, it's just how it installs from the disc,

Shogun 2 is a large game with numerous patches, so there is also a chance that you'll still have several gigs to download once the game finishes installing from disc.