Epic and Valve have just now enabled the ability for UT3 Retail keys to be registered on Steam. This will allow owners of the retail game to enter their keys into Steam and download/install the game through Valve's service. To take advantage of this, simply open Steam, go to the 'Games' menu, and select 'Activate a product on Steam'. Enter your UT3 CD-Key and the game will appear in your Steam 'My Games' Tab.
Let me be the first to say: EFF YEAH!
(Note: It doesn't use your existing installation. If you already have the boxed copy installed, you'll have to uninstall and reinstall with Steam)
The advantage of this is that the upcoming UT3 patch features Steam achievements. Full patch notes here:
Major f*cking patch